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UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals

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  • Geoff Willcocks

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  • Geoff Willcocks, 2009. "UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 403-414, November.
    • Handle: RePEc:kap:jrefec:v:39:y:2009:i:4:p:403-414
    DOI: 10.1007/s11146-008-9117-3
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    6. François Ortalo-Magné & Sven Rady, 2006. "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints ," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(2), pages 459-485.
    7. Brooks, Chris & Heravi, Saeed M, 1999. "The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test," Computational Economics, Springer;Society for Computational Economics, vol. 13(2), pages 147-162, April.
    8. Ortalo-Magne, Francois & Rady, Sven, 2004. "Housing Transactions and Macroeconomic Fluctuations: A Case Study of England," 2004 Meeting Papers 207c, Society for Economic Dynamics.
    9. Steven P. Devaney & Stephen L. Lee & Michael S. Young, 2007. "Serial persistence in individual real estate returns in the UK," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 25(3), pages 241-273, May.
    10. Quigley, John M., 2006. "Real estate portfolio allocation: The European consumers' perspective," Journal of Housing Economics, Elsevier, vol. 15(3), pages 169-188, September.
    11. Bond, Shaun A & Patel, Kanak, 2003. "The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 319-339, March-May.
    12. Simon Stevenson, 2007. "A comparison of the forecasting ability of ARIMA models," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 25(3), pages 223-240, May.
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    15. Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
    16. Achla Marathe & Hany A. Shawky, 2003. "The Structural Relation Between Mortgage and Market Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9‐10), pages 1235-1251, December.
    17. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August.
    18. Charles Leung, 2007. "Equilibrium Correlations of Asset Price and Return," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 233-256, February.
    19. Stevenson, Simon, 2004. "New empirical evidence on heteroscedasticity in hedonic housing models," Journal of Housing Economics, Elsevier, vol. 13(2), pages 136-153, June.
    20. Robert Wood, 2005. "A comparison of UK residential house price indices," BIS Papers chapters, in: Bank for International Settlements (ed.), Real estate indicators and financial stability, volume 21, pages 212-227, Bank for International Settlements.
    21. Nathan Lael Joseph, 2003. "Using monthly returns to model conditional heteroscedasticity," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 791-801.
    22. Stephen Cauley & Andrey Pavlov & Eduardo Schwartz, 2007. "Homeownership as a Constraint on Asset Allocation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 283-311, April.
    23. Benito, Andrew, 2006. "The down-payment constraint and UK housing market: Does the theory fit the facts?," Journal of Housing Economics, Elsevier, vol. 15(1), pages 1-20, March.
    24. Jud, G Donald & Winkler, Daniel T, 2003. "The Q Theory of Housing Investment," The Journal of Real Estate Finance and Economics, Springer, vol. 27(3), pages 379-392, November.
    25. Achla Marathe & Hany A. Shawky, 2003. "The Structural Relation Between Mortgage and Market Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9-10), pages 1235-1251.
    26. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    27. John Glascock & Lynne Kelly, 2007. "The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 369-384, April.
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    Cited by:

    1. Nicholas Apergis & James E. Payne, 2020. "Modeling the time varying volatility of housing returns: Further evidence from the U.S. metropolitan condominium markets," Review of Financial Economics, John Wiley & Sons, vol. 38(1), pages 24-33, January.
    2. Ren, Yu & Xiong, Cong & Yuan, Yufei, 2012. "House price bubbles in China," China Economic Review, Elsevier, vol. 23(4), pages 786-800.
    3. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.
    4. He, Chi-Wei & Chang, Kuang-Liang & Wang, Yung-Jang, 2020. "Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market," Finance Research Letters, Elsevier, vol. 34(C).
    5. repec:wyi:journl:002167 is not listed on IDEAS
    6. Pietrzyk Radosław & Rokita Paweł, 2015. "Stochastic Goals in Financial Planning for a Two-Person Household," Statistics in Transition New Series, Polish Statistical Association, vol. 16(1), pages 111-136, March.
    7. Radosław Pietrzyk & Paweł Rokita, 2015. "Stochastic Goals In Financial Planning For A Two-Person Household," Statistics in Transition New Series, Polish Statistical Association, vol. 16(1), pages 111-136, March.
    8. Gang‐Zhi Fan & Ming Pu & Tien Foo Sing & Xiaoyu Zhang, 2022. "Risk aversion and urban land development options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(3), pages 767-788, September.
    9. Radosław Pietrzyk & Paweł Rokita, 2015. "Stochastic goals in financial planning for a two-person household," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 16(1), pages 111-136, May.

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