ERES:conference

ERES:conference

This paper examines the dynamic relationship that exists between the US real estate and S&P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting both linear and nonlinear causality tests. The results from these tests provide a number of interesting observations...

This paper explores the relationship between the Australian real estate and equity market between 1980 and 1999. The results from this study show three specific outcomes that extend the current literature on real estate finance. First, it is shown that structural shifts in stock and property...

This paper constructs synchronously priced indices of securitised property listed on the NYSE and LSE. The indices are then utilised to examine dynamic information flows between the two markets. By analysing returns behaviour, asymmetric volatility spill over effects and exceedance correlations,...

[abstract missing - contribution appeared in the programme]

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 within a framework that accounts for endogenously determined structural...

ERES:conference

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...

ERES:conference