Similar Search Results - EconBiz

What causes the positive price-turnover correlation in European housing markets?

Dröes, Martijn I.; Francke, Marc K. - 2016

This paper examines what determines the correlation between prices and turnover in European housing markets. Using a panel vector autoregressive model, we find that there is a particularly strong feedback mechanism between prices and turnover. Momentum effects are another important reason why...

Persistent link: https://www.econbiz.de/10011441590

Data-sparse price indexes by spatio-temporal regularization and PCA : an application to the Australian housing market

Sijp, Willem P.; Panagiotelis, Anastasios; Francke, Marc K. - 2025

Persistent link: https://www.econbiz.de/10015338055

Maximum likelihood estimation of stochastic volatility models

Sandmann, Gleb; Koopman, Siem Jan - 1996

Persistent link: https://www.econbiz.de/10000953379

Interaction between structural and cyclical shocks in production and employment

Butter, Frank A. G. den; Koopman, Siem Jan - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10001594753

Modelling bid-ask spreads in competitive dealership markets

Koopman, Siem Jan; Lai, Hung-neng - 1999

Persistent link: https://www.econbiz.de/10001415847

The modeling and seasonal adjustment of weekly observations

Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 354-368

Persistent link: https://www.econbiz.de/10001222712

Constructing seasonally adjusted data with time-varying confidence intervals

Koopman, Siem Jan; Franses, Philip Hans - In: Oxford bulletin of economics and statistics 64 (2002) 5, pp. 509-526

Persistent link: https://www.econbiz.de/10001741990

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Persistent link: https://www.econbiz.de/10001689297

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

Tracking growth and the business cycle : a stochastic common cycle model for the euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

Persistent link: https://www.econbiz.de/10001792789

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