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Subset vector autoregressions for listed property and oil markets using bootstrap model selection

Ryan, Laura Simone


Subset Vector Autoregressive (SVAR) models are fitted to the International Listed Property Trust (LPT) market and the global oil market. A General-to-Specific (GetS) model selection algorithm and a Bootstrap model based resampling method are employed to determine the best fitting models from a set of candidate models. Section One presents one of the largest studies to date of the effect of crises on diversification opportunities in the listed property context, spanning 12 markets{u2091}. The...[Show more]

CollectionsOpen Access Theses
Date published: 2011
Type: Thesis (PhD)
DOI: 10.25911/5d5155db0ffa0
Access Rights: Open Access


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