Persistence in the return and volatility of home price indices
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DOI: 10.1080/09603107.2012.687095
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Cited by:
- Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
- Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
- Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
- Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2021.
"High-Frequency Volatility Forecasting of US Housing Markets,"
The Journal of Real Estate Finance and Economics, Springer, vol. 62(2), pages 283-317, February.
- Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
- Nicholas Apergis & James E. Payne, 2020. "Modeling the time varying volatility of housing returns: Further evidence from the U.S. metropolitan condominium markets," Review of Financial Economics, John Wiley & Sons, vol. 38(1), pages 24-33, January.
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