by mathexpert | Aug 7, 2020 | Publications, Uncategorized
Abstract Purpose The purpose of this paper is to determine if artificial neural network (ANN) works better than linear regression in predicting Hong Kong real estate investment trusts’ (REITs) excess return. Design/methodology/approach Both ANN and the regression were...
by mathexpert | Aug 7, 2020 | Publications, Uncategorized
Abstract Purpose The purpose of this study is to evaluate the performance of the ensemble learning models, such as the Random Forest and Extreme Gradient Boosting models, in predicting the direction of the Japan real estate investment trusts (J-REITs) at different...
by mathexpert | Aug 7, 2020 | Publications, Uncategorized
Abstract Purpose The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables. Design/methodology/approach The data collected comprised total return REIT Index from...
by mathexpert | Aug 7, 2020 | Publications, Uncategorized
Abstract This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that...
by mathexpert | Aug 7, 2020 | Publications, Uncategorized
Abstract This paper analyzed the volatility behavior of Asian real estate investment trust (REIT) markets. The autoregressive conditional heteroscedasticity (ARCH)-family models were applied for the purpose of conducting the in-sample fitting test and out-of-sample...
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