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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Nuguer, Victoria; Uysal, Pinar - In: Journal of economic dynamics & control 76 (2017), pp. 171-201
Persistent link: https://www.econbiz.de/10011817214
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017
risk in the mortgage market raises the default rate and spreads to the rest of the economy, creating a recession. In our … model two shocks are well suited to replicate the subprime crisis and the Great Recession: the mortgage risk shock and the …. This policy is successful in stabilizing the mortgage market and makes all agents better off. …
Persistent link: https://www.econbiz.de/10011660977
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Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 17-30
Persistent link: https://www.econbiz.de/10010468803
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Determinants of housing prices in Hong Kong : a Box-Cox quantile regression approach
Kim, Hyung-gun; Hung, Kwong-chin; Park, Sung Y. - In: The journal of real estate finance and economics 50 (2015) 2, pp. 270-287
Persistent link: https://www.econbiz.de/10010488007
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Nonparametric estimation of dynamic hedonic price models and the construction of residential housing price indices
Meese, Richard A.; Wallace, Nancy E. - 1991
Persistent link: https://www.econbiz.de/10001441812
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How heterogeneous is the impact of energy efficiency on dwelling prices? : evidence from the application of the unconditional quantile hedonic model to the Portuguese residential m...
Evangelista, Rui; Andrade e Silva, João; Ramalho, … - In: Energy economics 109 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013283786
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Time-geographically weighted regressions and residential property value assessment
Cohen, Jeffrey P.; Coughlin, Cletus Charles; Zabel, … - 2019
In this study, we develop and apply a new methodology for obtaining accurate and equitable property value assessments. This methodology adds a time dimension to the Geographically Weighted Regressions (GWR) framework, which we call Time-Geographically Weighted Regressions (TGWR). That is, when...
Persistent link: https://www.econbiz.de/10011997942
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The Deflated Sharpe Ratio : Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Bailey, David H. - 2019
With the advent in recent years of large financial data sets, machine learning and high-performance computing, analysts can backtest millions (if not billions) of alternative investment strategies. Backtest optimizers search for combinations of parameters that maximize the simulated historical...
Persistent link: https://www.econbiz.de/10012904833
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Estimation of Theory-Implied Correlation Matrices
Lopez de Prado, Marcos - 2019
Correlation matrices are ubiquitous in finance. Some key applications include portfolio construction, risk management, and factor/style analysis. Correlation matrices are usually estimated from historical empirical observations or derived from historically estimated factors. It is widely...
Persistent link: https://www.econbiz.de/10012859763
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Estimating a Dynamic Discrete Choice Model with Partial Observability for Household Mortgage Default and Prepayment Behaviors
Ma, Chao - 2016
Households are forward-looking when deciding whether to default on or refinance their mortgages. There are two types of default generated by two mechanisms: illiquidity-triggered default and strategic default. However, researchers can observe only whether households default but not whether the...
Persistent link: https://www.econbiz.de/10013002370