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Risk and Structural Instability in US House Prices
16 references·0 citing·45 second hop
Risk and Structural Instability in US House Prices (2011)Risk and Structural Instability in US Hou…Research in International Business and Finance (2009)Research in International Bus…Exploring Metropolitan Housing Price Volatility (2006)Exploring Metropolitan Housin…Risk and Volatility: Econometric Models and Financial Practice (2004)Risk and Volatility: Economet…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets (2004)An Anatomy of Price Dynamics …Testing for Changes in the Unconditional Variance of Financial Time Series (2003)Testing for Changes in the Un…Detecting multiple breaks in financial market volatility dynamics (2002)Detecting multiple breaks in …Comparing Wealth Effects: The Stock Market Versus the Housing Market (2001)Comparing Wealth Effects: The…Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Has the U.S. Economy Become M…Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999)Cointegration, causality, and…A Long-Run and Short-Run Component Model of Stock Return Volatility (1999)A Long-Run and Short-Run Comp…Journal of the American Statistical Association (1995)Journal of the American Stati…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The Efficiency of the Market for Single-Family Homes (1988)The Efficiency of the Market …Arima and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes (1988)Arima and Cointegration Tests…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Forecasting Output and Inflation: The Role of Asset Prices (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Uncertainty, Financial Frictions, and Investment Dynamics (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of Volatility Spreads (2006)Chapter 15 Volatility and Correlation Forecasting (2006)Parametric and Nonparametric Volatility Measurement (2010)Expected stock returns and volatility (1987)Neglecting parameter changes in GARCH models (2005)Are Asian stock markets efficient? Evidence from new multiple variance ratio tests (2007)Break detection in the covariance structure of multivariate time series models (2009)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Comparing Predictive Accuracy (1994)Electricity consumption and economic growth in China: Cointegration and co-feature analysis (2006)The Volatility of Realized Volatility (2008)Volatility Is Rough (2018)THE BEHAVIORAL LIFE‐CYCLE HYPOTHESIS (1988)Anomalies: Saving, Fungibility, and Mental Accounts (1990)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)The social and private micro-level consequences of homeownership (2003)The price and quantity of residential land in the United States (2007)Housing wealth, financial wealth, and consumption: New evidence from micro data (2008)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)Option valuation with long-run and short-run volatility components☆ (2008)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1988The Efficiency of the Market for Single-Family Homes1,828 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 2001Comparing Wealth Effects: The Stock Market Versus the Housing Market732 cited
  • 2004Risk and Volatility: Econometric Models and Financial Practice554 cited
  • 1999A Long-Run and Short-Run Component Model of Stock Return Volatility350 cited
  • 2002Detecting multiple breaks in financial market volatility dynamics324 cited
  • 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger313 cited
  • 2009Research in International Business and Finance287 cited
  • 2004An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets272 cited
  • 1988Arima and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes

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253 cited
  • 2003Testing for Changes in the Unconditional Variance of Financial Time Series219 cited
  • 2006Exploring Metropolitan Housing Price Volatility174 cited
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