A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Levin, Eric J. & Wright, Robert E., 1997. "The impact of speculation on house prices in the United Kingdom," Economic Modelling, Elsevier, vol. 14(4), pages 567-585, October.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Daniel C. Quan & Sheridan Titman, 1999. "Do Real Estate Prices and Stock Prices Move Together? An International Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 183-207, June.
- Eric Bouye & Mark Salmon, 2009. "Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 721-750.
- Nader Naifar & Slim Mseddi, 2013. "Sukuk spreads determinants and pricing model methodology," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 3(3), pages 241-257.
- Crocker H. Liu & David J. Hartzell & Martin E. Hoesli, 1997.
"International Evidence on Real Estate Securities as an Inflation Hedge,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 193-221, June.
- Martin Hoesli, 1993. "International evidence on real estate securities as an inflation hedge," ERES eres1993_108, European Real Estate Society (ERES).
- Hort, Katinka, 1998. "The Determinants of Urban House Price Fluctuations in Sweden 1968-1994," Journal of Housing Economics, Elsevier, vol. 7(2), pages 93-120, June.
- Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998.
"Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets,"
Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
- Colin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets," Journal of Real Estate Research, Taylor & Francis Journals, vol. 16(3), pages 339-356, January.
- John Okunev & Patrick J. Wilson, 1997.
"Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503, September.
- John Okunev & Pat Wilson, 1995. "Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets," Working Paper Series 47, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
- Koenker,Roger, 2005.
"Quantile Regression,"
Cambridge Books,
Cambridge University Press, number 9780521845731, September.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, October.
- Ding, Haoyuan & Chong, Terence Tai-leung & Park, Sung Y., 2014.
"Nonlinear dependence between stock and real estate markets in China,"
Economics Letters, Elsevier, vol. 124(3), pages 526-529.
- Chong, Terence Tai Leung & Ding, Haoyuan & Park, Sung Y, 2014. "Nonlinear Dependence between Stock and Real Estate Markets in China," MPRA Paper 57774, University Library of Munich, Germany.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Lin, Tsoyu Calvin & Lin, Zong-Han, 2011. "Are stock and real estate markets integrated? An empirical study of six Asian economies," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 571-585, November.
- Yuming Fu & Lilian K. Ng, 2001.
"Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present‐Value Approach,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(2), pages 227-250.
- Yuming Fu & Lilian K Ng, 2000. "Market Efficiency and Return Statistics: Evidence from Real Estate and stock Markets Using a Present-Value Approach," Wisconsin-Madison CULER working papers 00-03, University of Wisconsin Center for Urban Land Economic Research.
- Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-261, November.
- Crocker H. Liu & Jianping Mei, 1998.
"The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 3-39, March.
- Crocker Liu & Jianping Mei, 1996. "The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-33, New York University, Leonard N. Stern School of Business-.
- Gaiyan Zhang & Hung-Gay Fung, 2006. "On the Imbalance Between the Real Estate Market and the Stock Markets in China," Chinese Economy, Taylor & Francis Journals, vol. 39(2), pages 26-39, April.
- Hatemi-J, Abdulnasser & Roca, Eduardo & Al-Shayeb, Abdulrahman, 2014. "How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis," Economic Modelling, Elsevier, vol. 37(C), pages 137-142.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Korhan Gokmenoglu & Siamand Hesami, 2019. "Real estate prices and stock market in Germany: analysis based on hedonic price index," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 12(4), pages 687-707, April.
- Ata Assaf, 2006. "Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 441-462.
- Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.
- Chi-Wei Su & Xiao-Cui Yin & Hsu-Ling Chang & Hai-Gang Zhou, 2019. "Are the stock and real estate markets integrated in China?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 741-760, December.
- Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
- Xiangyu Chen & Jittima Tongurai, 2021. "The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 527-561, December.
- Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107034723, October.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, October.
- Lin, Tsoyu Calvin & Lin, Zong-Han, 2011. "Are stock and real estate markets integrated? An empirical study of six Asian economies," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 571-585, November.
- Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013.
"The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains,"
Working papers
2013-34, University of Connecticut, Department of Economics.
- Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working Papers 201365, University of Pretoria, Department of Economics.
- Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2014. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working Papers 1402, University of Nevada, Las Vegas , Department of Economics.
- Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
- repec:prg:jnlpep:v:preprint:id:560:p:1-15 is not listed on IDEAS
- Maria I. Kyriakou & Athanasios Koulakiotis & Apostolos Kiohos & Vassilios Babalos, 2023. "Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 66(4), pages 939-962, May.
- Mato Njavro & Petra Posedel & Maruška Vizek, 2016. "Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(4), pages 396-410.
- Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
- Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
- Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 181-192, April.
- Albulescu, C.T. & Bouri, E. & Tiwari, A.K. & Roubaud, D., 2020. "Quantile causality between banking stock and real estate securities returns in the US," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 251-260.
- So, Mike K.P. & Chung, Ray S.W., 2015. "Statistical inference for conditional quantiles in nonlinear time series models," Journal of Econometrics, Elsevier, vol. 189(2), pages 457-472.
- Feng-Li Lin & Mei-Chih Wang & Hsien-Hung Kung, 2020. "Housing and Stock Market Nexus in the US," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 114-130.
- Wolski Rafal, 2020. "Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices," Real Estate Management and Valuation, Sciendo, vol. 28(1), pages 100-111, March.
More about this item
Keywords
real estate prices; quantile regression; copulas models; nonlinear analysis; stock markets; monetary policy; macroeconomic variables; residential housing; Gulf Cooperation Council; GCC countries; stock market returns; stock market volatility; interest rates; inflation rates; crude oil prices.;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:afasfa:v:6:y:2016:i:4:p:374-395. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=214 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.