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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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A Cointegration Test to Verify the Housing Bubble
Arshanapalli, Bala - 2015
Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to...
Persistent link: https://www.econbiz.de/10013039155
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Signaling Asset Price Bubbles with Time-Series Methods
Taipalus, Katja - 2012
This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional … consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator … also signals most of the 'negative bubbles' before their turning points …
Persistent link: https://www.econbiz.de/10013111338
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On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - 2017
After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...
Persistent link: https://www.econbiz.de/10011595441
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Testing for single bubble episode in the Nigerian stock market : an empirical investigation
Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...
Persistent link: https://www.econbiz.de/10012178349
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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
(GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10003864486
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...
Persistent link: https://www.econbiz.de/10013003892
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An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...
Persistent link: https://www.econbiz.de/10011843494
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Stock Return Predictability in Frequency Domain
Kang, Jie; Jiang, Fuwei; Dai, Zhifeng - 2022
Using the long-term wavelet component of monthly S&P 500 excess returns as supervision information, we employ a machine learning method to extract the common predictive information of 14 prevalent macroeconomic variables, and construct a new macroeconomic index aligned for predicting stock...
Persistent link: https://www.econbiz.de/10014238602
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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