We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime …-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive … technique are misspecified and underestimate true variance. Two exogenous variables, equity returns and GDP growth, outperform …

waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their … volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR …

significant value effect exists, while no small-size effect is present. Real estate equity returns vary significantly with the … excess market return and a pan-European value factor. Moreover, returns are driven by a systematic size factor, although this …