Miller, Norman; Peng, Liang - In: The Journal of Real Estate Finance and Economics 33 (2006) 1, pp. 5-18
This paper uses GARCH models and a panel VAR model to analyze possible time variation of the volatility of single-family home value appreciation and the interactions between the volatility and the economy, using a large quarterly data set that covers 277 MSAs in the U.S. from 1990:1 to 2002:2....
