| 题名: | Nonlinear adjustment of short-term deviations impacts on the US real estate market |
| 作者: | Lee, Yen-Hsien;Chiu, Chien-Liang |
| 贡献者: | 淡江大學財務金融學系 |
| 日期: | 1900-01-01 |
| 上传时间: | 2011-10-24 10:32:27 (UTC+8) |
| 出版者: | Abingdon: Routledge |
| 摘要: | This study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results demonstrate that the ESTECM-GARCH captures the dynamics of returns more effectively than the Error-Correction Model (ECM) and Exponential Smooth Transition Error-Correction Model (ESTECM). Consequently, the nonlinear behaviour of returns is driven by momentum noise traders and heterogeneous arbitrageurs in Real Estate Investment Trust (REIT) markets. |
| 關聯: | Applied Economic Letter 17(6), pp.597-603 |
| DOI: | 10.1080/13504850802167165 |
| 显示于类别: | [財務金融學系暨研究所] 期刊論文
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