We use a newly-developed time-varying range-based volatility model to capture the dynamics of securitized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the presence of...

In this article we attempt to evaluate the impact of various information shocks on cigarette consumption. In contrast to the existing studies, we do not impose any break points <italic>a priori</italic>. We use recently developed techniques for sample splitting in the data on US cigarette demand, and find that...

We ask what determines the profitability of candlestick patterns. Is it the definition of trend and/or the holding strategy that one uses in candlestick charting analysis? To answer this, we conduct a systematic investigation by considering three definitions of trend and four holding strategies....

In this paper, we investigate whether monetary policy has asymmetric effects on U.S. equity REIT returns by using Markov-switching models. We adopt a number of measures of monetary policy. We find substantial regime switching in the response to a monetary policy action that corresponds to...

We adopt the threshold model of myopic cigarette addiction to US state-level panel data. The threshold model is used to identify the structural effects of cigarette demand determinants across the income stratification. Furthermore, we apply a bootstrap approach to correct for the small-sample...

Using Bayesian methods, we re-examine the empirical evidence from Ben-David, Lumsdaine and Pappell (“Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks”, Empirical Economics, 28, 2003) regarding structural breaks in the long-run growth path of real output...

Using Bayesian methods, we reexamine the empirical evidence from Sakoulis et al. (2010) regarding structural breaks in the forward discount for G-7 countries. Our Bayesian framework allows the number and pattern of structural changes in level and variance to be endogenously determined. We find...