Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...

The real estate market in China is often subject to government intervention while it is widely believed that speculation is one of the driving forces for the dramatic increase in house price. By controlling macroeconomic factors, we detect two types of speculative traders, fundamentalists and...