Unsmoothing property returns with the implied cointegration relationship

Abstract

The paper proposes a multivariate approach to unsmoothing the valuation‐based property return indices, utilising information embedded in other variables implied by their underlying economic relationship and cointegration relationship. The approach is then applied to the UK property return indices, and smoothing in the indices is detected and corrected.

Citation

Wang, P. (1998), "Unsmoothing property returns with the implied cointegration relationship", Journal of Property Valuation and Investment, Vol. 16 No. 4, pp. 358-368. https://doi.org/10.1108/14635789810228150