Belaire-Franch, Jorge; Opong, Kwaku - In: The Journal of Real Estate Finance and Economics 46 (2013) 3, pp. 516-542
This study assess the nonlinear behavior of U.K. Construction and Real Estate indices. Standard unit root tests show that both time series are I(1) processes. However, the empirical results show that the returns series for both indices deviate from the null hypothesis of white noise. Moreover,...