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

  • Geoff Willcocks

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    File URL: http://hdl.handle.net/10.1007/s11146-008-9117-3
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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 39 (2009)
    Issue (Month): 4 (November)
    Pages: 403-414

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    Handle: RePEc:kap:jrefec:v:39:y:2009:i:4:p:403-414
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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    1. Quigley, John M., 2006. "Real estate portfolio allocation: The European consumers' perspective," Journal of Housing Economics, Elsevier, vol. 15(3), pages 169-188, September.
    2. 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 319-39, March-May.
    3. 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.
    4. Steven C. Bourassa & Martin Hoesli & Jian Sun, 2004. "A Simple Alternative House Price Index Method," FAME Research Paper Series rp119, International Center for Financial Asset Management and Engineering.
    5. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
    6. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Departmental Working Papers _175, Chinese University of Hong Kong, Department of Economics.
    7. Kim Hiang Liow, 2006. "Dynamic relationship between stock and property markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 371-376.
    8. 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.
    9. Charles Ka Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Discussion Papers 00004, Chinese University of Hong Kong, Department of Economics.
    10. Ortalo-Magné, François & Rady, Sven, 2001. "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints," CEPR Discussion Papers 3015, C.E.P.R. Discussion Papers.
    11. Meen, Geoffrey, 2002. "The Time-Series Behavior of House Prices: A Transatlantic Divide?," Journal of Housing Economics, Elsevier, vol. 11(1), pages 1-23, March.
    12. 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 379-92, November.
    13. Nabeel Al-Loughani & David Chappell, 1997. "On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 173-176.
    14. 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.
    15. Brooks, Chris & Heravi, Saeed M, 1999. "The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test," Computational Economics, Society for Computational Economics, vol. 13(2), pages 147-62, April.
    16. 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.
    17. 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.
    18. Steven Devaney & Stephen Lee & Michael Young, 2004. "Serial Persistence in Individual Real Estate Returns in the UK," Real Estate & Planning Working Papers rep-wp2004-13, Henley Business School, Reading University.
    19. Ortalo-Magne, Francois & Rady, Sven, 2004. "Housing transactions and macroeconomic fluctuations: a case study of England and Wales," Journal of Housing Economics, Elsevier, vol. 13(4), pages 287-303, December.
    20. Stevenson, Simon, 2004. "New empirical evidence on heteroscedasticity in hedonic housing models," Journal of Housing Economics, Elsevier, vol. 13(2), pages 136-153, June.
    21. 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.
    22. Nathan Lael Joseph, 2003. "Using monthly returns to model conditional heteroscedasticity," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 791-801.
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