Nonlinear cointegration and time series analysis represent a dynamic area of research that extends the classical framework of cointegration by allowing the long-run equilibrium relationships among ...

Executive Summary.This study investigates the causal relationship between inflation and property returns and the short- and long-term inflation hedging effectiveness of property assets in Hong Kong.

Using a longer span of available time series data and employing powerful unit root and cointegration tests that allow for multiple structural breaks, developed recently by Carrion-i-Silvestre et al.