We examine extreme volatility events for 1987-99 in five Samp;P sub-aggregate indices: financial, industrial, mid-cap, transport, and utility. Identified event days are those for which the ratio of subsequent to prior return variance falls into the 1% critical range of a two-tailed F test. In...

This article examines patterns of temporal and spatial diffusion of real estate price changes. In addition to means, changes in volatility are tracked in reaction to substantial new information, estimated with GARCH-M methods. The data covers towns in Connecticut and near San Francisco. There is...

We examine characteristics of housing price dynamics that may be consistent with rational learning and not simply irrational feedback trading. We find significant patterns of temporal and spatial diffusion that are more amenable to explanations that allow for rational components. First, the...