Pooling the forecast outcomes from different models has been shown by Makridakis (1989), Clement (1989) and others to improve out-of-sample forecast test statistics beyond any of the individual component techniques. As well as conventional combining, a different approach to forecast combination...

This paper examines the responses of share prices in Belgium, Britain, France and Germany to the influences of major international share markets, domestic output and interest rates. The empirical results of the study indicate positive and significant responses of share prices to movements of...

ERES:conference

In this study we present an alterntive approach to test whether the real estate and equity markets are cointegrated. We develop a nonlinear test which allows for a stochastic trend term as opposed to a deterministic drift term. This is a reasonable approach, because if the real estate market is...

This study aims to examine the relationship between interest rate movements and the price reaction of UK property stocks. While previous exists concerning the sensitivity of indirect real estate vehicles to interest rates, this study extends this literature by examining the time-varying...

Explores trends in strikes and lockouts from the 1960s to 2002. Highlights problems of cross-country comparability and gaps in coverage and makes recommendations for improving the collection of strike activity data.

ERES:conference

In a comparison between Australian and United Kingdom property markets this paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved...