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Clustering in U.K. Home Price Volatility
13 references·1 citing·39 second hop
Clustering in U.K. Home Price Volatility (2011)Clustering in U.K. Home Price VolatilityIs There Long-run Convergence among Regional House Prices in the UK? (2008)Is There Long-run Convergence…Exploring Metropolitan Housing Price Volatility (2006)Exploring Metropolitan Housin…Detecting long‐run relationships in regional house prices in the UK (2005)Detecting long‐run relationsh…The Convergence of Regional House Prices in the UK (2003)The Convergence of Regional H…Assessing the Forecasting Performance of Regime‐Switching, ARIMA and GARCH Models of House Prices (2003)Assessing the Forecasting Per…Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances (1997)Temporal and Spatial Informat…Testing for Convergence between UK Regional House Prices (1995)Testing for Convergence betwe…Efficient Mortgage Default Option Exercise: Evidence from Loss Severity (1995)Efficient Mortgage Default Op…REGIONAL HOUSE PRICES IN BRITAIN: LONG‐RUN RELATIONSHIPS AND SHORT‐RUN DYNAMICS (1993)REGIONAL HOUSE PRICES IN BRIT…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…FHA Terminations: A Prelude to Rational Mortgage Pricing (1985)FHA Terminations: A Prelude t…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility clustering, risk-return relationship and asymmetric adjustment in the Finnish housing market (2020)Volatility clustering, risk-r…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Explicit tests of contingent claims models of mortgage default (1995)The Effect of Income and Collateral Constraints on Residential Mortgage Terminations (1995)Theory of rational option pricing (2005)An Empirical Model of Subprime Mortgage Default From 2000 to 2007 (2008)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)Multivariate Simultaneous Generalized ARCH (1995)HOUSING, WAGES AND UK LABOUR MARKETS (1989)Sterling's Relationship with the Dollar and the Deutschemark: 1976-89 (1991)Was There A British House Price Bubble? Evidence from a Regional Panel (2006)Unit Roots and Structural Change (2011)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)The Efficiency of the Market for Single-Family Homes (1988)Forecasting Real Estate Prices (2013)Forecasting stock index returns using ARIMA-SVM, ARIMA-ANN, and ARIMA-random forest hybrid models (2014)A novel hybrid model for forecasting crude oil price based on time series decomposition (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)House Price Efficiency: Expectations, Sales, Symmetry (2004)Regional Housing Price Cycles: A Spatio-temporal Analysis Using US State-level Data (2010)What Drives House Price Cycles? International Experience and Policy Issues (2021)Testing for unit roots in heterogeneous panels (2003)Investigating regional house price convergence in the United States: Evidence from a pair-wise approach (2011)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Spatial aggregation, spatial dependence and predictability in the UK housing market (1996)Macroeconomics and Reality (1980)Analysis of Panel Data (2003)Boom–Bust Cycles and the Forecasting Performance of Linear and Non-Linear Models of House Prices (2007)The impact of land policy on the relation between housing and land prices: Evidence from China (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2003Assessing the Forecasting Performance of Regime‐Switching, ARIMA and GARCH Models of House Prices227 cited
  • 2008Is There Long-run Convergence among Regional House Prices in the UK?214 cited
  • 1993REGIONAL HOUSE PRICES IN BRITAIN: LONG‐RUN RELATIONSHIPS AND SHORT‐RUN DYNAMICS208 cited
  • 2003The Convergence of Regional House Prices in the UK200 cited
  • 2006Exploring Metropolitan Housing Price Volatility174 cited
  • 1985FHA Terminations: A Prelude to Rational Mortgage Pricing152 cited
  • 1995Testing for Convergence between UK Regional House Prices135 cited
  • 1997Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances131 cited
  • 2005Detecting long‐run relationships in regional house prices in the UK105 cited
  • 1995Efficient Mortgage Default Option Exercise: Evidence from Loss Severity66 cited

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  • 2020Volatility clustering, risk-return relationship and asymmetric adjustment in the Finnish housing market

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16 cited