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The dynamic correlation and volatility of real estate price and rental: an application of MSV model
16 references·1 citing·36 second hop
The dynamic correlation and volatility of real estate price and rental: an application of MSV model (2011)The dynamic correlation and volatility of…The Quarterly Journal of Economics (2024)The Quarterly Journal of Econ…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Stochastic volatility : selected readings (2005)Stochastic volatility : selec…Assessing High House Prices: Bubbles, Fundamentals and Misperceptions (2005)Assessing High House Prices: …Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Pricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…The Behavior of Home Buyers in Boom and Post-Boom Markets (1988)The Behavior of Home Buyers i…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach (1984)Tax Subsidies to Owner-Occupi…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Multivariate GARCH models: a surveyMultivariate GARCH models: a …ARE THE GLOBAL REAL ESTATE MARKETS CONTAGIOUS? (2012)ARE THE GLOBAL REAL ESTATE MA…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Is There a Bubble in the Housing Market? (2003)The Wealth of Cities: Agglomeration Economies and Spatial Equilibrium in the United States (2009)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Econometric Analysis of Cross Section and Panel Data (2001)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)A Theory of Fairness, Competition, and Cooperation (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Skill Content of Recent Technological Change: An Empirical Exploration (2003)
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Stochastic volatility : selected readings
333 cited

Cited by

  • 2012ARE THE GLOBAL REAL ESTATE MARKETS CONTAGIOUS?22 cited