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Detecting tranquil and bubble periods in housing markets : a review and application of statistical methods
Nagayasu, Jun - In: Recent econometric techniques for macroeconomic and …, (pp. 79-111). 2021
We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and … bubbles. Furthermore, by introducing nonlinearity into the autoregressive distributed lag model, we modify the bounds test to …
Persistent link: https://www.econbiz.de/10012395374
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …
Persistent link: https://www.econbiz.de/10011674010
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018
Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …
Persistent link: https://www.econbiz.de/10011812671
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Testing housing markets for episodes of exuberance : evidence from different Polish cities
Sobieraj, Janusz; Metelski, Dominik - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-29
incomes tend to mitigate the explosive dynamics and change the context in which the whole issue of housing bubbles is viewed …. The answer to the question of whether there is indeed already a situation of price bubbles in local housing markets in …
Persistent link: https://www.econbiz.de/10012628269
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Is there a national housing market bubble brewing in the United States?
Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020
We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...
Persistent link: https://www.econbiz.de/10012229804
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Non-linear structures, chaos, and bubbles in U.S. regional housing markets
Jirasakuldech, Benjamas; Emekter, Riza; Thuy Bui - In: Journal of economics and finance : JEF 47 (2023) 1, pp. 63-93
Persistent link: https://www.econbiz.de/10014227692
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Perpetual learning and apparent long memory
Chevillon, Guillaume; Mavroeidis, Sophocles - In: Journal of economic dynamics & control 90 (2018), pp. 343-365
Persistent link: https://www.econbiz.de/10011974089
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Bubble detective : city-level analysis of house price cycles
Cevik, Serhan; Naik, Sadhna - In: International finance : the only journal bridging the … 27 (2024) 1, pp. 2-16
Persistent link: https://www.econbiz.de/10014532193
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On the dynamic relationship between the housing market, stock market, and macroeconomic variables in Hong Kong
So, Simon Man Shing; Huang, Red Ze Wei - In: The journal of prediction markets 16 (2022) 2, pp. 101-125
Persistent link: https://www.econbiz.de/10014289909
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A cointegration test to verify the housing bubble
Arshanapalli, Bala Gangadhar; Nelson, William - In: The international journal of business and finance … 2 (2008) 2, pp. 35-43
Persistent link: https://www.econbiz.de/10003951986