期刊論文
| 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 | en |
| ISSN | 1350-4851 |
| 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 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72535 ) |