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Return and Volatility Transmission in U.S. Housing Markets

  • Hong Miao
  • Sanjay Ramchander
  • Marc W. Simpson

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File URL: http://hdl.handle.net/10.1111/j.1540-6229.2010.00303.x
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Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

Volume (Year): 39 (2011)
Issue (Month): 4 (December)
Pages: 701-741

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Handle: RePEc:bla:reesec:v:39:y:2011:i:4:p:701-741
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  1. David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, 03.
  2. Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing high house prices: bubbles, fundamentals, and misperceptions," Staff Reports 218, Federal Reserve Bank of New York.
  3. John M. Clapp & Carmelo Giaccotto & Dogan Tirtiroglu, 1991. "Housing Price Indices Based on All Transactions Compared to Repeat Subsamples," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 270-285.
  4. William Miles, 2008. "Volatility Clustering in U.S. Home Prices," Journal of Real Estate Research, American Real Estate Society, vol. 30(1), pages 73-90.
  5. Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
  6. Walter Dolde & Dogan Tirtiroglu, 1997. "Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(4), pages 539-565.
  7. 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.
  8. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-37, March.
  9. Kearney, Colm & Patton, Andrew J, 2000. "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, vol. 35(1), pages 29-48, February.
  10. Clapp, John M. & Tirtiroglu, Dogan, 1994. "Positive feedback trading and diffusion of asset price changes: Evidence from housing transactions," Journal of Economic Behavior & Organization, Elsevier, vol. 24(3), pages 337-355, August.
  11. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
  12. Ross, Stephen A, 1989. " Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance, American Finance Association, vol. 44(1), pages 1-17, March.
  13. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
  14. Helen Higgs & Andrew Worthington, 2004. "Transmission of returns and volatility in art markets: a multivariate GARCH analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 217-222.
  15. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  16. Ramchander, Sanjay & Simpson, Marc W & Webb, James R, 2003. "Macroeconomic News and Mortgage Rates," The Journal of Real Estate Finance and Economics, Springer, vol. 27(3), pages 355-77, November.
  17. Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
  18. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
  19. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February.
  20. Tirtiroglu, Dogan, 1992. "Efficiency in housing markets: Temporal and spatial dimensions," Journal of Housing Economics, Elsevier, vol. 2(3), pages 276-292, September.
  21. G. Andrew Karoly & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Research in Financial Economics 9603, Ohio State University.
  22. Walter Dolde & Dogan Tirtiroglu, 2002. "Housing Price Volatility Changes and Their Effects," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 41-66.
  23. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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