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Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy
16 references·0 citing·45 second hop
Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy (2015)Fundamentals and the Volatility of Real E…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)Housing Market Spillovers: Ev…EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Portfolio Choice in the Presence of Housing (2004)Portfolio Choice in the Prese…Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints (2004)Optimal Consumption and Portf…Hedonic Pricing Models: A Selective and Applied Review (2002)Hedonic Pricing Models: A Sel…Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects (1995)Prices and Trading Volume in …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Measuring the Value of Housing Quality (1970)Measuring the Value of Housin…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Forecasting: theory and practice (2022)Measuring Business Cycles (1947)A Theory of the Consumption Function (1960)Book Review: Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Testing for a Unit Root in Time Series Regression (1988)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Datestamping the Bitcoin and Ethereum Bubbles (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Saving and Liquidity Constraints (1991)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Consumption and Portfolio Choice over the Life Cycle (2005)Optimal life cycle asset allocation : understanding the empirical evidence (2005)How do house prices affect consumption? Evidence from micro data (2006)Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints∗ (2015)An Intertemporal Capital Asset Pricing Model (1973)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Credit and Banking in a DSGE Model of the Euro Area (2010)Effects of Fiscal Stimulus in Structural Models (2010)Relationship and Transaction Lending in a Crisis (2016)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Corn Cash Price Forecasting (2020)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Limits of Arbitrage (1995)Market liquidity as a sentiment indicator (2004)
this work references cited by second hop

References

  • 1989Why Does Stock Market Volatility Change Over Time?3,650 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 2010Housing Market Spillovers: Evidence from an Estimated DSGE Model1,500 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,127 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2004Portfolio Choice in the Presence of Housing1,004 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 1995Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects919 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes896 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies840 cited
  • 2002Hedonic Pricing Models: A Selective and Applied Review763 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited

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1970
Measuring the Value of Housing Quality
644 cited
  • 2004Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints590 cited
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