This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency, a panel conitegration analysis consisting of 15 countries over a period of...

This paper examines the in- and out-of-sample performance of various value-at-risk (VaR) approaches for commodity futures investments: conventional VaR, the Cornish-Fisher (CF) VaR, GARCH-type VaR models, and semi-parametric conditional autoregressive value-at-risk (CAViaR) models, which do not...

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...

Using panel data covering 30 urban areas for 16 years, this is the first comprehensive study which investigates the rental adjustment process in the German office market. In doing so, we use the recently developed panel cointegration technique for non-stationary data in conjunction with an error...

This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency we apply a panel cointegration analysis consisting of 15 countries over a...

This paper responds to the question of whether shares of public real estate companies should be treated as real estate or as equity investments. Such a classification in one of the asset categories can hardly be explained from a theoretical point of view. Thus, empirical correlation structures...

Based on theoretical rationales of an equilibrium model, we use macroeconomic and financial variables as proxies to empirically model their influence on the performance of risk capital in the U.S. The results show that venture capital investments are positively related to industrial production,...