教師資料查詢 | 類別: 期刊論文 | 教師: 邱建良 CHIU CHIEN-LIANG (瀏覽個人網頁)

標題:Nonlinear adjustment of short-term deviations impacts on the US real estate market
學年100
學期1
出版(發表)日期1900/01/01
作品名稱Nonlinear adjustment of short-term deviations impacts on the US real estate market
作品名稱(其他語言)
著者Lee, Yen-Hsien; Chiu, Chien-Liang
單位淡江大學財務金融學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economic Letter 17(6), pp.597-603
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.
關鍵字
語言英文
ISSN1350-4851
期刊性質國外
收錄於SSCI
產學合作
通訊作者Lee, Yen-Hsien
審稿制度
國別英國
公開徵稿
出版型式紙本
相關連結
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