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Wavelet Based Analysis of Major Real Estate Markets

Author

Listed:
  • Adil YILMAZ

    (Yeditepe University)

  • Gazanfer UNAL

    (Yeditepe University)

  • Cengiz KARATAS

    (Yeditepe University)

Abstract

Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales Here we analyze the wavelet coherence of major real estate markets data Our paper is the first to link co movement in terms of wavelet coherence Here we consider USA Canada Japan China and Developed Europe real estate market prices as time series Wavelet coherence results reveal interconnected relationships between these markets and how these relationships vary in the time frequency space These relationships allow us to build VARMA models of real estate data which yield forecast results with small errors

Suggested Citation

  • Adil YILMAZ & Gazanfer UNAL & Cengiz KARATAS, 2016. "Wavelet Based Analysis of Major Real Estate Markets," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(2), pages 107-116.
    • Handle: RePEc:srs:jasf00:v:7:y:2016:i:2:p:107-116
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    Cited by:

    1. Cengiz KARATAS & Gazanfer UNAL & Adil YILMAZ, 2017. "Co-movement and Forecasting Analysis of Major Real Estate Markets by Wavelet Coherence and Multiple Wavelet Coherence," Chinese Journal of Urban and Environmental Studies (CJUES), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-18, June.
    2. Mustafa Gülerce & Gazanfer Ünal, 2017. "Forecasting Of Oil And Agricultural Commodity Prices: Varma Versus Arma," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-30, September.

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