{"id":"https://openalex.org/W3123768093","doi":"https://doi.org/10.1111/1540-6229.12025","title":"Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance","display_name":"Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance","publication_year":2013,"publication_date":"2013-10-31","ids":{"openalex":"https://openalex.org/W3123768093","doi":"https://doi.org/10.1111/1540-6229.12025","mag":"3123768093"},"language":"en","primary_location":{"id":"doi:10.1111/1540-6229.12025","doi":"https://doi.org/10.1111/1540-6229.12025","is_oa":true,"landing_page_url":"https://doi.org/10.1111/1540-6229.12025","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1540-6229.12025","source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1540-6229.12025","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112298808","display_name":"Brad Case","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Brad Case","raw_affiliation_strings":["National Association of Real Estate Investment Trusts (NAREIT), Washington, DC, 20006"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"National Association of Real Estate Investment Trusts (NAREIT), Washington, DC, 20006","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5059698112","display_name":"Massimo Guidolin","orcid":"https://orcid.org/0000-0002-2995-2529","observed_orcids":["https://orcid.org/0000-0002-2995-2529"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]},{"id":"https://openalex.org/I71209653","display_name":"Bocconi University","ror":"https://ror.org/05crjpb27","country_code":"IT","type":"education","lineage":["https://openalex.org/I71209653"]}],"countries":["GB","IT"],"is_corresponding":false,"raw_author_name":"Massimo Guidolin","raw_affiliation_strings":["Department of Finance, Bocconi University, Milan, 21100 Italy","Manchester Business School, Manchester, M15 6PB United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Bocconi University, Milan, 21100 Italy","institution_ids":["https://openalex.org/I71209653"]},{"raw_affiliation_string":"Manchester Business School, Manchester, M15 6PB United Kingdom","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019425095","display_name":"Y\u0131ld\u0131ray Y\u0131ld\u0131r\u0131m","orcid":"https://orcid.org/0000-0002-7212-9992","observed_orcids":["https://orcid.org/0000-0002-7212-9992"]},"institutions":[{"id":"https://openalex.org/I70983195","display_name":"Syracuse University","ror":"https://ror.org/025r5qe02","country_code":"US","type":"education","lineage":["https://openalex.org/I70983195"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yildiray Yildirim","raw_affiliation_strings":["Whitman School of Management, Syracuse University, Syracuse, NY, 13244"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Whitman School of Management, Syracuse University, Syracuse, NY, 13244","institution_ids":["https://openalex.org/I70983195"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3400,"currency":"USD","value_usd":3400},"apc_paid":null,"fwci":4.6548,"has_fulltext":true,"cited_by_count":22,"citation_normalized_percentile":{"value":0.94882546,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"42","issue":"2","first_page":"279","last_page":"342"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8003000020980835,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8003000020980835,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.1662999987602234,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0071000000461936,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-switching-model","display_name":"Markov regime switching","score":0.7839999794960022},{"id":"https://openalex.org/keywords/real-estate-investment-trusts","display_name":"real estate investment trusts","score":0.9639999866485596},{"id":"https://openalex.org/keywords/reit-returns","display_name":"REIT returns","score":0.9829999804496765},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.5870000123977661},{"id":"https://openalex.org/keywords/return-volatility","display_name":"return volatility","score":0.4490000009536743},{"id":"https://openalex.org/keywords/risk-reward-ratio","display_name":"risk-reward ratio","score":0.843999981880188},{"id":"https://openalex.org/keywords/implied-risk-premium","display_name":"implied risk premium","score":0.5040000081062317},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.5490000247955322},{"id":"https://openalex.org/keywords/bond-returns","display_name":"bond returns","score":0.9990000128746033},{"id":"https://openalex.org/keywords/return-prediction","display_name":"return forecasting","score":0.5690000057220459}],"concepts":[{"id":"https://openalex.org/C38815200","wikidata":"https://www.wikidata.org/wiki/Q697852","display_name":"Real estate investment trust","level":3,"score":0.9024723768234253},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.8105059862136841},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7190839648246765},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6757950782775879},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.6267400979995728},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.625898003578186},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5913992524147034},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5756022334098816},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.519531786441803},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.4930104911327362},{"id":"https://openalex.org/C161394823","wikidata":"https://www.wikidata.org/wiki/Q1121101","display_name":"Synchronicity","level":2,"score":0.46251359581947327},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18992087244987488},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18521857261657715},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14873474836349487},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.08996742963790894},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1111/1540-6229.12025","doi":"https://doi.org/10.1111/1540-6229.12025","is_oa":true,"landing_page_url":"https://doi.org/10.1111/1540-6229.12025","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1540-6229.12025","source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2138256","doi":"https://doi.org/10.2139/ssrn.2138256","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2138256","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:bla:reesec:v:42:y:2014:i:2:p:279-342","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1111/1540-6229.12025","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:iris.unibocconi.it:11565/3961124","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/11565/3961124","pdf_url":null,"source":{"id":"https://openalex.org/S7407055170","display_name":"Archivio istituzionale della Ricerca - Bocconi","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1111/1540-6229.12025","doi":"https://doi.org/10.1111/1540-6229.12025","is_oa":true,"landing_page_url":"https://doi.org/10.1111/1540-6229.12025","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1540-6229.12025","source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3123768093.pdf","grobid_xml":"https://content.openalex.org/works/W3123768093.grobid-xml"},"referenced_works_count":56,"referenced_works":["https://openalex.org/W77708663","https://openalex.org/W110985661","https://openalex.org/W158697640","https://openalex.org/W1500470240","https://openalex.org/W1511098757","https://openalex.org/W1529921754","https://openalex.org/W1547245921","https://openalex.org/W1563004004","https://openalex.org/W1581176686","https://openalex.org/W1715362925","https://openalex.org/W1727659491","https://openalex.org/W1814457572","https://openalex.org/W1969076842","https://openalex.org/W1979575715","https://openalex.org/W1995834279","https://openalex.org/W1999996900","https://openalex.org/W2006191831","https://openalex.org/W2013109882","https://openalex.org/W2016119145","https://openalex.org/W2022314986","https://openalex.org/W2051564300","https://openalex.org/W2061160212","https://openalex.org/W2063593194","https://openalex.org/W2068123843","https://openalex.org/W2074812030","https://openalex.org/W2077044043","https://openalex.org/W2087019491","https://openalex.org/W2093230975","https://openalex.org/W2094959103","https://openalex.org/W2096787983","https://openalex.org/W2104882891","https://openalex.org/W2111611818","https://openalex.org/W2116215885","https://openalex.org/W2123188811","https://openalex.org/W2142635246","https://openalex.org/W2146855196","https://openalex.org/W2149730447","https://openalex.org/W2155847396","https://openalex.org/W2158820974","https://openalex.org/W2161808462","https://openalex.org/W2173640236","https://openalex.org/W2239688030","https://openalex.org/W2245123846","https://openalex.org/W2345373154","https://openalex.org/W3124041622","https://openalex.org/W3124487462","https://openalex.org/W3124527898","https://openalex.org/W3124726329","https://openalex.org/W3124729485","https://openalex.org/W3125611017","https://openalex.org/W3126027153","https://openalex.org/W4238816640","https://openalex.org/W4241115065","https://openalex.org/W4243668324","https://openalex.org/W4246950982","https://openalex.org/W4250741331"],"related_works":["https://openalex.org/W3004243030","https://openalex.org/W2130521182","https://openalex.org/W2736812479","https://openalex.org/W3209940902","https://openalex.org/W2038433575","https://openalex.org/W2245123846","https://openalex.org/W1580633445","https://openalex.org/W1529921754","https://openalex.org/W2806985422","https://openalex.org/W2146171062"],"abstract_inverted_index":{"The":[0],"fact":[1],"that":[2,83,126,168,196,213,235],"REIT":[3,53,236],"returns":[4,54,162,237,242],"display":[5],"rich":[6,176],"dynamic":[7],"time":[8,115],"series":[9,116,137],"properties,":[10],"such":[11,118],"as":[12,119,179,181,210],"conditional":[13,71],"heteroskedasticity":[14],"and":[15,46,55,63,74,113,141,160,201,229],"time-varying":[16],"risk":[17],"premia,":[18],"has":[19],"recently":[20],"come":[21],"to":[22,58,152],"the":[23,26,36,48,92,95,105,134,144,169,173,188,194,223,233,241,253],"forefront":[24],"of":[25,38,52,60,89,94,110,175,190,226,230,243,255],"real":[27],"estate":[28],"finance":[29],"literature.":[30],"In":[31,66],"this":[32,148],"paper":[33],"we":[34,166],"document":[35],"presence":[37],"Markov":[39,68,80],"switching":[40,69,112,128],"regimes":[41,195],"in":[42,47,101,156,232],"expected":[43],"returns,":[44],"variances,":[45,73],"implied":[49],"reward-to-risk":[50],"ratio":[51],"compare":[56],"them":[57],"properties":[59],"non-REIT":[61],"stock":[62],"bond":[64,161,202],"returns.":[65,203],"a":[67,86,153],"model":[70],"means,":[72],"covariances":[75],"depend":[76],"on":[77,252],"an":[78,219],"unobservable":[79],"state":[81,93],"variable":[82],"can":[84],"assume":[85],"finite":[87],"number":[88],"values":[90],"characterizing":[91],"financial":[96],"market":[97],"at":[98],"each":[99],"point":[100],"time.":[102],"We":[103],"analyze":[104],"relative":[106],"in-sample":[107],"descriptive":[108],"performance":[109],"regime":[111,127],"alternative":[114],"models":[117],"multivariate":[120,154],"GARCH.":[121],"Interestingly,":[122],"our":[123],"evidence":[124,149],"suggests":[125],"techniques":[129],"may":[130,206,217,238],"more":[131],"successfully":[132],"fit":[133],"monthly":[135],"return":[136],"for":[138,172,214],"REITs,":[139],"stocks,":[140],"bonds":[142],"over":[143],"period":[145],"1972-2008.":[146],"When":[147],"is":[150],"extended":[151],"setting":[155],"which":[157],"REIT,":[158,199],"stock,":[159,200],"are":[163],"modeled":[164],"jointly,":[165],"find":[167],"data":[170],"call":[171],"specification":[174],"structures":[177],"with":[178,240],"many":[180],"four":[182],"separate":[183],"states.":[184],"This":[185,204],"results":[186],"from":[187],"absence":[189],"complete":[191],"synchronicity":[192],"among":[193],"characterize":[197],"univariate":[198],"finding":[205],"have":[207],"considerable":[208],"importance":[209],"it":[211],"implies":[212],"REITs":[215],"there":[216],"exist":[218],"important":[220],"de-coupling":[221],"between":[222],"standard":[224],"notion":[225],"(linear)":[227],"correlation":[228,257],"\u201cassociation,\u201d":[231],"sense":[234],"co-move":[239],"other":[244],"asset":[245],"classes":[246],"much":[247],"less":[248],"than":[249],"commonly":[250],"believed":[251],"basis":[254],"their":[256],"coefficients.":[258]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2021-02-01T00:00:00"}