Theoretical models on the selling process in the housing market are scarce. Taylor (1999) specifies a model where time-on-the-market gives a quality signal of the house to potential buyers if inspection outcomes of the house are not public. We specify a duration model with competing risks, where...

Theoretical models on the selling process in the housing market are scarce. Taylor (1999) specifies a model where time-on-the-market gives a quality signal of the house to potential buyers if inspection outcomes of the house are not public. We specify a duration model with competing risks, where...

A model for a financial asset is constructed with two types of agents. The agents differ in terms of their beliefs. The proportions of the two types change over time according to a stochastic process which models the interaction between the agents. Thus, unlike other models, agents do not...

In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...

We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure used in the construction of the popular...

The aim of this paper is to show that there are clear advantages in forecasting overall market trends and in policy analysis in treating the US housing market as homogeneous. This study differs from the traditional approach and other studies that attempt to deal with US house prices in a...