Are securitised real estate markets efficient?: New international evidence based on an improved automatic Portmanteau test
We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small samples....
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/45229 |