This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in...

The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) since 1885. Also using recent advances in the econometrics of structural change we segment the sample space according to the identified breaks and look at whether the PPP condition holds in each...

In this paper we construct and estimate a model for match attendances in English one-day, limited-overs league cricket. Our dataset separates 'pay at gate' spectators from club members, enabling us to distinguish between the attendance decisions of casual spectators and those of the,...

This study employs an Exponential Generalized Autoregressive Conditional Heteroscedasticity-in-Mean (EGARCH-M) model to determine whether regional house prices in the UK share any of the properties associated with assets such as equities. The results suggest there is some evidence of a positive...

This paper demonstrates that the conventional approach of using official liberalisation dates as the only existing breakdates could lead to inaccurate conclusions as to the effect of the underlying liberalisation policies. It also proposes an alternative paradigm for obtaining more robust...

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the...

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances...