West, Tracey; Worthington, Andrew C - In: Journal of Financial Management of Property and Construction 11 (2006) 2, pp. 105-116
This paper employs a Generalised Autoregressive Conditional Heteroske‐dasticity in Mean (GARCH‐M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed...
