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