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Housing Market Volatility in the OECD Area : Evidence from VAR Based Return Decompositions

Engsted, Tom - 2014

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ow (rent) news and discount rate (return) news over the period 1970-2011. For the majority of countries news about future returns is the main driver, and both real interest rates and risk-premia...

Persistent link: https://www.econbiz.de/10013064460

Understanding Housing Market Volatility

Fairchild, Joseph - 2013

The Campbell-Shiller present value formula implies a factor structure for the price-rent ratio of the housing market. Using a dynamic factor model, we decompose the price-rent ratios of 17 major housing markets into a national factor and independent local factors, and we link these factors to...

Persistent link: https://www.econbiz.de/10013090400

Global liquidity, house prices and the macroeconomy : evidence from advanced and emerging economies

Cesa-Bianchi, Ambrogio; Céspedes, Luis Felipe; … - 2015

This paper first compares house price cycles in advanced and emerging economies using a new quarterly house price dataset covering the period 1990- 2012. It is found that that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across...

Persistent link: https://www.econbiz.de/10011290047

The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa

Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 1999

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

Persistent link: https://www.econbiz.de/10005764254

Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data

Matei, Marius - In: Journal for Economic Forecasting (2011) 2, pp. 116-141

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … explains why forecasting of volatility is more effective when the model contains a measure of intraday data. A discrete and a … is considered. Details on procedures employed in the literature with respect to modeling and forecasting using realized …

Persistent link: https://www.econbiz.de/10009151358

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

Persistent link: https://www.econbiz.de/10014434629

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015179749

Risk modelling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009767001

The impact of jumps and leverage in forecasting co-volatility

Asai, Manabu; McAleer, Michael - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10010477100

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709