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Appraisals, Transaction Incentives, and Smoothing
13 references·4 citing·32 second hop
Appraisals, Transaction Incentives, and Smoothing (1997)Appraisals, Transaction Incentives, and S…Temporal Aggregation in Real Estate Return Indices (1993)Temporal Aggregation in Real …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures (1993)Measuring Asset Values for Ca…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Risk and return in real estate (1991)Risk and return in real estatePrice formation and the appraisal function in real estate markets (1991)Price formation and the appra…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Risk and Return on Real Estate: Evidence from Equity REITs (1990)Risk and Return on Real Estat…The Efficiency of the Market for Single-Family Homes (1988)The Efficiency of the Market …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (2009)Is the Home Equity Conversion…The Paris OECD-IMF Workshop on Real Estate Price Indexes: Conclusions and Future Directions (2007)The Paris OECD-IMF Workshop o…Pricing Structure in Tokyo Metropolitan Land Markets and its Structural Changes: Pre-bubble, Bubble, and Post-bubble Periods (2007)Pricing Structure in Tokyo Me…Biases in appraisal land price information: the case of Japan (2006)Biases in appraisal land pric…Rational herding in financial economics (1996)Is There a Bubble in the Housing Market? (2003)Distance and Private Information in Lending (2010)Short- Term Interest Rates as Predictors of Inflation (2021)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Asset returns and inflation (1977)Information, trade and common knowledge (1982)Perfect Equilibrium in a Bargaining Model (1982)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Performance measurement with the arbitrage pricing theory (1986)The predictability of returns on equity REITs and their co-movement with other assets (1992)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988The Efficiency of the Market for Single-Family Homes1,828 cited
  • 1990Risk and Return on Real Estate: Evidence from Equity REITs365 cited
  • 1991Price formation and the appraisal function in real estate markets329 cited
  • 1991Risk and return in real estate292 cited
  • 1993Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures172 cited
  • 1993Temporal Aggregation in Real Estate Return Indices136 cited

Cited by

  • 2006Biases in appraisal land price information: the case of Japan77 cited

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2009
Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
76 cited
  • 2007The Paris OECD-IMF Workshop on Real Estate Price Indexes: Conclusions and Future Directions72 cited
  • 2007Pricing Structure in Tokyo Metropolitan Land Markets and its Structural Changes: Pre-bubble, Bubble, and Post-bubble Periods71 cited