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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They … explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the …
Persistent link: https://www.econbiz.de/10011674010
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They … explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the …
Persistent link: https://www.econbiz.de/10011674075
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - In: Economics: The Open-Access, Open-Assessment E-Journal 12 (2018) 2018-18, pp. 1-33
Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They … explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the …
Persistent link: https://www.econbiz.de/10011812936
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Trend, Mean-Reversion or Random Walk? A Statistical Analysis of Price Behavior in Major Markets
Athanasiadis, Theo - 2016
We examine the price behavior of 56 major markets over the last 16 years applying a set of univariate and multivariate robust statistical tests across different time frequencies. Our results can be considered as an augmented true out-of-sample test of all previous research testing for...
Persistent link: https://www.econbiz.de/10012993270
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Forecasting Random Walks under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10012714199
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10012756639
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A runs test for stock-market prices with an unobserved trend
Herger, Nils - 2024
To analyze whether stock-market prices follow a random walk, the algebraic sign of their returns has been compared with a coin toss, which is a prominent example for a Bernoulli trial with equiprobable outcomes. Like coin tosses, signed returns lend themselves for a simple runs test for...
Persistent link: https://www.econbiz.de/10014464828
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Speculators and Price Overreaction in the Housing Market
Fu, Yuming - 2012
This paper investigates the role of speculators in the housing market, specifically their contribution to price overreaction through positive feedback trading (or momentum trading). We exploit a unique dataset of condominium transactions in a residential real estate market where transaction...
Persistent link: https://www.econbiz.de/10013115047
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US house prices by census division : persistence, trends and structural breaks
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...
Persistent link: https://www.econbiz.de/10013472362
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Structural Breaks, Long Memory, or Unit Roots in Stock Prices: Evidence from Emerging Markets
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Cakan, Esin - In: International Econometric Review (IER) 7 (2015) 1, pp. 13-33
This paper investigates whether daily stock price indices from fourteen emerging markets are random walk (unit root) or mean reverting long memory processes. We use an efficient statistical framework that tests for random walks in the presence of multiple structural breaks at unknown dates. This...
Persistent link: https://www.econbiz.de/10012610955