Modelling house price volatility states in the UK by switching ARCH models
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DOI: 10.1080/00036840701721133
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Citations
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Cited by:
- 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.
- Kuang-Liang Chang & Charles Ka Yui Leung, 2022.
"How did the asset markets change after the Global Financial Crisis?,"
Chapters, in: Charles K.Y. Leung (ed.), Handbook of Real Estate and Macroeconomics, chapter 12, pages 312-336,
Edward Elgar Publishing.
- Kuang-Liang Chang & Charles Ka Yui Leung, 2021. "How did the asset markets change after the Global Financial Crisis?," ISER Discussion Paper 1124, Institute of Social and Economic Research, Osaka University.
- Kuang-Liang Chang & Charles Ka Yui Leung, 2021. "How did the asset markets change after the Global Financial Crisis?," GRU Working Paper Series GRU_2021_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Richard Whittle & Thomas Davies & Matthew Gobey & John Simister, 2014. "Behavioural Economics and House Prices: A Literature Review," Business and Management Horizons, Macrothink Institute, vol. 2(2), pages 15-28, December.
- 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.
- Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2017.
"Asset prices regime-switching and the role of inflation targeting monetary policy,"
Global Finance Journal, Elsevier, vol. 32(C), pages 97-112.
- Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2015. "Asset prices regime-switching and the role of inflation targeting monetary policy," MPRA Paper 68666, University Library of Munich, Germany.
- Christos S. Savva & Nektarios A. Michail, 2017. "Modelling house price volatility states in Cyprus with switching ARCH models," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 11(1), pages 69-82, June.
- Eddie Chi-man Hui & Xian Zheng, 2012. "The dynamic correlation and volatility of real estate price and rental: an application of MSV model," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2985-2995, August.
- Jos魍ar𨁍ontero-Lorenzo & Beatriz Larraz-Iribas, 2012.
"Space-time approach to commercial property prices valuation,"
Applied Economics, Taylor & Francis Journals, vol. 44(28), pages 3705-3715, October.
- Beatriz Larraz Iribas & Jose Maria Montero Lorenzo, 2011. "Space-time approach to commercial property prices valuation," Post-Print hal-00712371, HAL.
- 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.
- Bruce Morley & Dennis Thomas, 2018. "Covariance Risk and the Ripple Effect in the UK Regional Housing Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 13, pages 1-13, August.
- Yuan Zhang & Yiguo Sun & Thanasis Stengos, 2019. "Spatial Dependence in the Residential Canadian Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 223-263, February.
- Paraskevi Katsiampa & Kyriaki Begiazi, 2019. "An empirical analysis of the Scottish housing market by property type," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(4), pages 559-583, September.
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