The authors use a nonlinear framework in order to explore house price determinants and adjustment properties. They test for threshold cointegration using a sample of four developed countries (the United States, the United Kingdom, Spain, and Ireland) and four transition countries (Bulgaria,...

Real estate prices more than doubled in many countries of Central and Eastern Europe from 2003 to 2008. In this paper, I provide one of the first assessments of whether housing prices in this region correspond to rents, i.e. to cash-flows related to an apartment purchase. State-of-the-art panel...

In this article we focus on factors affecting property prices in the Czech regions. We apply an empirical analysis to identify periods of property price overvaluation by three alternative approaches: using ratios related to house prices (price-to-income and price-to-rent), using simple analysis...

Since January 2005, pensions in Slovakia are operated by a three-pillar system as proposed by the World Bank. This paper concentrates on the mandatory, fully funded second pillar. The authors present a dynamic accumulation model for determining the optimal switching strategy among pension funds...

This study verifies whether the results of proportional capital income taxation on the risk-taking of a loss-averse investor will still hold when the return of a risky asset has a general continuous distribution. We extend the previous literature, which assumes a binomial distribution of asset...

We analyze the risk-return characteristics of nine European emerging stock market indices over the period from January 2000 to December 2013. We show that (i) the return distances declined and structural breaks in this characteristic are sparse; (ii) distances between standard deviations are more...

One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with...

This study analyzes the long-run cointegration relationship between equity and real estate prices in 30 developed and emerging economies divided into four subpanels related to the income level and the financial market structure. We test for cointegration between equity and real estate prices...

The aim of this work is to find the dynamics of interdependencies and similarities between European, American and Asian stock markets. The investigation covers daily returns of 36 market indices. In order to examine the dependencies between these data, the Markov regime switching copula model...

This study investigates volatility spillovers and the dynamic relationship between the stock and currency markets in the Czech Republic, Poland, Hungary and Russia using four multivariate GARCH models. We analyze the optimal weights and the effectiveness of diversification for stock-currency...