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Short-run momentum, long-run mean reversion and excess volatility : an elementary housing model
Schmitt, Noemi; Westerhoff, Frank H. - In: Economics letters 176 (2019), pp. 43-46
Persistent link: https://www.econbiz.de/10012121226
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Momentum and mean reversion in regional housing markets : evidence from variance ratio tests
Oikarinen, Elias; Schindler, Felix - In: International journal of strategic property management 19 (2015) 3, pp. 220-234
Persistent link: https://www.econbiz.de/10011544976
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Mean reversion in housing markets
Nathanson, Charles G. - 2014
Persistent link: https://www.econbiz.de/10012504756
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Measuring the value of a Moscow apartment : a spatial approach to the hedonic pricing of attributes
Repkine, Alexandre - 2008
In this paper we explore spatial effects in a hedonic price function framework for a large sample of apartments in Moscow. We find strong evidence of both spatial lag and spatial autocorrelation. Our results are robust across both the spatial model specifications and the choice of the spatial...
Persistent link: https://www.econbiz.de/10011523607
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Understanding housing market volatility
Fairchild, Joseph; Ma, Jun; Wu, Shu - In: Journal of money, credit and banking : JMCB 47 (2015) 7, pp. 1309-1337
Persistent link: https://www.econbiz.de/10011402439
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Asset price bubbles : existence, persistence and migration
Gómez González, José Eduardo; Ojeda-Joya, Jair N.; … - In: The South African journal of economics 85 (2017) 1, pp. 52-67
Persistent link: https://www.econbiz.de/10011667418
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Time-varying volatility and the housing market
Higgins, C. Richard; Sapci, Ayse - In: Macroeconomic dynamics 28 (2024) 2, pp. 426-461
Persistent link: https://www.econbiz.de/10014485317
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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
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Boom-bust housing price dynamic : the case of Malaysia
Yip, Chee Yin; Woo Kok Hoong; Oon Kam Hoe; Nabihah … - In: International journal of economics and financial issues … 7 (2017) 4, pp. 132-138
Persistent link: https://www.econbiz.de/10011823183
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A threshold type policy for trading a mean-reverting asset with fixed transaction costs
Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15
A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...
Persistent link: https://www.econbiz.de/10011906215