Lesame, Keagile; Ngene, Geoffrey M.; Gupta, Rangan; Bouri, Elie(Elsevier, 2024-01)
This paper investigates whether investors in international Real Estate Investment Trusts (REITs) markets engage in herding behaviour due to the economic uncertainty induced by the COVID-19 pandemic in 2020. Using a ...
We propose a logistic smooth transition autoregressive fractionally integrated [STARFI (p, d)] process for modeling and forecasting US housing price volatility. We discuss the statistical properties of the model and ...
In this paper, we investigate the time-varying interconnectedness of international Real
Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries
since the Global Financial Crisis. ...
