... suggest REITs differ from other market sectors both in their concave sensitivity to market movements and in their ability to generate persistent excess returns. These findings are robust, as confirmed by dynamic estimation using a Kalman Filter. Originality/value This study contributes...

... to forecast the future movement yield curves. The authors apply the state-space model and the Kalman filter to estimate parameters and extract factors from the US yield curve data. Findings The authors compare both in-sample and out-of-sample performance of the dynamic approach with various existing...