The fact that REIT returns display rich dynamic time series properties, such as conditional heteroskedasticity and time-varying risk premia, has recently come to the forefront of the real estate finance literature. In this paper we document the presence of Markov switching regimes in expected...

The fact that REIT returns display rich dynamic time series properties, such as conditional heteroskedasticity and time-varying risk premia, has recently come to the forefront of the real estate finance literature. In this paper we document the presence of Markov switching regimes in expected...

We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond...

We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock bond...

We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond...