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Stationarity and Cointegration in Systems with Real Estate and Financial Assets
16 references·1 citing·25 second hop
Stationarity and Cointegration in Systems with Real Estate and Financial Assets (1999)Stationarity and Cointegration in Systems…Statistical properties of returns: Financial assets versus commercial real estate (1994)Statistical properties of ret…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…The Treasury Yield Curve as a Cointegrated System (1992)The Treasury Yield Curve as a…Tests of exchange market efficiency: fragile evidence from cointegration tests (1991)Tests of exchange market effi…Risk and return in real estate (1991)Risk and return in real estateCointegration: how short is the long run? (1991)Cointegration: how short is t…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied (1989)Testing for a Random Walk: A …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Dynamics of Private and Public Real Estate Markets (2000)Dynamics of Private and Publi…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Time Series Analysis: Forecasting and Control (1977)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2012)Long memory processes and fractional integration in econometrics (1996)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)CO2 emissions and financial development in an emerging economy: An augmented VAR approach (2015)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1991Cointegration: how short is the long run?564 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 1991Risk and return in real estate292 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 1991Tests of exchange market efficiency: fragile evidence from cointegration tests166 cited
  • 1989Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied111 cited

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1992
The Treasury Yield Curve as a Cointegrated System
77 cited
  • 1994Statistical properties of returns: Financial assets versus commercial real estate73 cited
  • Cited by

    • 2000Dynamics of Private and Public Real Estate Markets63 cited