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Keywords: Smoothing
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Journal Articles
Unsmoothing property returns with the implied cointegration relationship
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Journal of Property Valuation and Investment (1998) 16 (4): 358–368.
Published: 01 October 1998
... return indices, and smoothing in the indices is detected and corrected. (6) similarly, νt is I(0) and may have serial correlation, c is intercept and the same as in equation (5). Combining equations (5) and (6) yields: (7) Recalling equation (4...
