One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a market equity index. The paper utilizes a variety of...

This paper compares the performance of three alternative models in forecasting housing supply in the Irish Republic. The results highlight key behavioural issues in the dynamics of housing supply that the OLS and VAR models fail to adequately capture due to the inclusion of fundamental variables...

This article re-examines the issue of international diversification in real estate securities and attempts to address the problem of estimation error in the inputted parameters through the use of alternative techniques. The results see an increased stability in calculated portfolio allocations...

This study examines the potential diversification opportunities arising from the extension of real estate portfolios into an international environment. Using data for ten countries, the article compares the diversification benefits obtained from both real estate securities and hedged indices....

This paper examines residential sale mechanisms from an appraisal perspective and empirically tests for differences in the valuation process for auctioned and private treaty sales. We test the hypothesis that agents use different criteria in preparing the guide prices for auctioned housing, with...

This article examines the issues encountered in the modeling of market fundamentals during a period of extreme price behavior. The study analyzes the price behavior of the residential property market in Ireland using a number of alternative methodological approaches in the estimation of...