TY - JOUR AU - YILMAZ, Adil AU - UNAL, Gazanfer AU - KARATAS, Cengiz PY - 2017 TI - Wavelet Based Analysis of Major Real Estate Markets JF - Journal of Advanced Studies in Finance; Vol 7 No 2 (2016): JASF Volume VII Issue 2(14) Winter 2016 KW - real estate markets; REIT; co-movement; wavelet coherence; VARMA N2 - Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales. Here, we analyze the wavelet coherence of major real estate markets data. Our paper is the first to link co-movement in terms of wavelet coherence. Here we consider USA, Canada, Japan, China and Developed Europe real estate market prices as time series. Wavelet coherence results reveal interconnected relationships between these markets and how these relationships vary in the time-frequency space. These relationships allow us to build VARMA models of real estate data which yield forecast results with small errors. UR - https://journals.aserspublishing.eu/jasf/article/view/550