Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long‐term dependence. Design/methodology/approach – The paper utilises the random‐walk framework to develop a stochastic forecast model wherein the sign...

This paper examines whether there was contagion from the Thai securitised real estate market to four other prominent Asia‐Pacific property markets. Based on Forbes and Rigobon's methodology for calculating conditional and unconditional correlations, analysis shows that there was some contagion...

Understanding cyclical activity is an important component of efficient portfolio management. Property appraisal models that do not explicitly take into account cyclical fluctuations may produce unrealistic valuation estimates resulting in property assets being incorrectly added to or removed...

Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long-term dependence. Design/methodology/approach – The paper utilises the random-walk framework to develop a stochastic forecast model wherein the sign...

This paper examines the sensitivity of real estate securities to changes in both market and central bank interest rates. It is commonly viewed that the traded real estate market is one of the industry sectors most susceptible to interest rate movements. This is due to traditional high levels of...

As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of...

This study identifies housing sub-markets (micro markets) that may be price leaders within local housing market areas and relates their performance to potentially relevant economic factors. This can be important as it provides both policy-makers and market players with a useful barometer...

This paper sets out to consider whether changes in economic fundamentals in the United States can impact on international real estate markets. To this end a two-step approach is pursued. In the first step cointegration techniques are used to determine whether common trends exist in international...