We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive technique are misspecified and underestimate true...

Performance indices for illiquid investments are known to suffer from returns smoothing, and the purpose of this paper is to investigate the presence and nature of such smoothing in the context of venture capital. We find that while the standard techniques may or may not indicate the presence of...