Add to ORKGWe test for the existence of single and multiple bubble periods in four Real Estate Investment Trust (REIT) indices using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized SADF. These methods allow us to estimate the beginning and the end of bubble periods. Our results provide statistically significant evidence of speculative bubbles in the REIT index and its three components: Equity, Mortgage and Hybrid REITs. These results may be valuable for real estate financial managers and for investors in REITs
This paper uses recently developed sequential ADF tests to distinguish between rational speculative ...
This paper uses recently developed sequential ADF tests to distinguish between rational speculative ...
The SADF and GSADF tests have been widely used in empirical studies to identify bubbles. These tests...
The study finds evidence in favor of Evans’ (1991) definition of periodically collapsing speculative...
This paper uses a regime-switching approach to determine whether prices in the US stock, direct real...
This paper uses a regime-switching approach to determine whether prices in the US stock, direct real...
In the context of financial crises influenced by the development and burst of housing price bubbles,...
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates th...
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates th...
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates th...
This paper presents Rtadf (right-tail augmented Dickey-Fuller), an EViews add-in that facilitates th...
This paper presents Rtadf (right-tail augmented Dickey-Fuller), an EViews add-in that facilitates th...
In this article, we analyze the effects of monetary policy on the bubbles in the Real Estate Investm...
The concept of asset price bubble has drawn a large amount of academic attention. A bubble is common...
In this paper we propose a new time series empirical test to identify housing bubble periods. Our te...
This paper uses recently developed sequential ADF tests to distinguish between rational speculative ...
This paper uses recently developed sequential ADF tests to distinguish between rational speculative ...
The SADF and GSADF tests have been widely used in empirical studies to identify bubbles. These tests...
The study finds evidence in favor of Evans’ (1991) definition of periodically collapsing speculative...
This paper uses a regime-switching approach to determine whether prices in the US stock, direct real...
This paper uses a regime-switching approach to determine whether prices in the US stock, direct real...
In the context of financial crises influenced by the development and burst of housing price bubbles,...
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates th...
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates th...
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates th...
This paper presents Rtadf (right-tail augmented Dickey-Fuller), an EViews add-in that facilitates th...
This paper presents Rtadf (right-tail augmented Dickey-Fuller), an EViews add-in that facilitates th...
In this article, we analyze the effects of monetary policy on the bubbles in the Real Estate Investm...
The concept of asset price bubble has drawn a large amount of academic attention. A bubble is common...
In this paper we propose a new time series empirical test to identify housing bubble periods. Our te...
This paper uses recently developed sequential ADF tests to distinguish between rational speculative ...
This paper uses recently developed sequential ADF tests to distinguish between rational speculative ...
The SADF and GSADF tests have been widely used in empirical studies to identify bubbles. These tests...