This study examined the real estate markets of Europe, North America, and Asia using daily continental real estate indices. It applied a multivariate stochastic volatility model to analyze the behavior of volatility trends in these markets. The results showed comovements in volatilities,...

Most studies that have examined the relationship between the housing market and the macroeconomy have focused on how changes in housing supply affect real activity and the like. In this paper, the possibility that housing starts respond to sudden changes or shocks to macroeconomic factors is...