Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo - In: Real Estate Economics 30 (2002) 2, pp. 263-291
This paper applies a new statistical technology for identifying regime shifts to analyze recent data on real estate and equity markets in eight developing Far Eastern countries in the 1992-1998 time period. We find that regime shifts in volatility occur in the summer of 1997; however, most of the...