Long-Range Dependence in U.S. Home Price Volatility
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DOI: 10.1007/s11146-009-9204-0
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- Bruce Morley & Dennis Thomas, 2016. "An Empirical Analysis of UK House Price Risk Variation by Property Type," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 45-56, May.
- Chyi Lin Lee, 2017. "An examination of the risk-return relation in the Australian housing market," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(3), pages 431-449, June.
- Kyriakou, Maria I. & Babalos, Vassilios & Kiohos, Apostolos & Koulakiotis, Athanasios, 2020. "Feedback trading strategies and long-term volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 181-189.
- Liu, Lianyi & Wu, Lifeng, 2020. "Predicting housing prices in China based on modified Holt's exponential smoothing incorporating whale optimization algorithm," Socio-Economic Planning Sciences, Elsevier, vol. 72(C).
- Kyriaki Begiazi & Paraskevi Katsiampa, 2019. "Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 290-309, February.
- He, Chi-Wei & Chang, Kuang-Liang & Wang, Yung-Jang, 2020. "Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market," Finance Research Letters, Elsevier, vol. 34(C).
- Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018.
"Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy,"
China Economic Review, Elsevier, vol. 48(C), pages 205-222.
- Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," Post-Print hal-01996210, HAL.
- Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.
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Keywords
House prices; GARCH; Long memory; Volatility;All these keywords.
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