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Determinants of Real House Price Dynamics
Capozza, Dennis R. - 2002
We explore the dynamics of real house prices by estimating serial correlation and mean reversion coefficients from a … panel data set of 62 metro areas from 1979-1995. The serial correlation and reversion parameters are then shown to vary … cross sectionally with city size, real income growth, population growth, and real construction costs. Serial correlation is …
Persistent link: https://www.econbiz.de/10012469447
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Essays on earnings, employment and location
Kim, Bonggeun - 2002
Persistent link: https://www.econbiz.de/10003779975
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An anatomy of price dynamics in illiquid markets : analysis and evidence from local housing markets
Capozza, Dennis R.; Hendershott, Patric H.; Mack, Charlotte - In: Real estate economics : journal of the American Real … 32 (2004) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10002075194
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Persistence, mean reversion and non-linearities in the US housing prices over 1830–2013
Gil-Alaña, Luis A.; Gupta, Rangan; Perez de Gracia, … - In: Applied economics 48 (2016) 34/36, pp. 3244-3252
Persistent link: https://www.econbiz.de/10011617196
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Size and sign asymmetries in house price adjustments
Akdoğan, Kurmaş - In: Applied economics 51 (2019) 48, pp. 5268-5281
Persistent link: https://www.econbiz.de/10012197216
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Mean Reversion and Momentum : Another Look at the Price-Volume Correlation in the Real Estate Market
Arbel, Yuval - 2009
is positively related to the price level; hence, a negative (positive) correlation between transaction volume and price … for testing the volume and price-level correlation, it does provide support to the positive volume-price yield correlation …
Persistent link: https://www.econbiz.de/10013157579
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Identifying nonlinear serial dependence in volatile, high-frequency time series and its implications for volatility modeling
Wild, Phillip; Foster, John; Hinich, Melvin J. - In: Macroeconomic dynamics 14 (2010), pp. 88-110
Persistent link: https://www.econbiz.de/10003981218
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Option pricing under fast-varying and rough stochastic volatility
Garnier, Josselin; Sølna, Knut - In: Annals of finance 14 (2018) 4, pp. 489-516
Persistent link: https://www.econbiz.de/10012268319
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Expected long-term rates of return when short-term returns are serially correlated
Mork, Knut Anton; Trønnes, Haakon Andreas - In: International review of financial analysis 88 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014462437
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The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains
Li, Xiao-Lin; Chang, Tsangyao; Miller, Stephen M.; … - In: International review of economics & finance : IREF 38 (2015), pp. 220-233
Persistent link: https://www.econbiz.de/10011572379