IDEAS home Printed from https://ideas.repec.org/e/c/pcl118.html

Steven P. Clark

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Lloyd P. Blenman & Alberto Bueno-Guerrero & Steven P. Clark, 2022. "Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model," Risks, MDPI, vol. 10(10), pages 1-17, September.

    Cited by:

    1. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Jun 2025.

  2. Yiying Cheng & Steven P. Clark & Kiplan S. Womack, 2021. "A Real Options Model of Real Estate Development with Entitlement Risk," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 106-151, March.

    Cited by:

    1. Graeme Guthrie, 2023. "Land Hoarding and Urban Development," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 753-793, November.
    2. 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.
    3. Quan Gan & Maggie Rong Hu & Wayne Xinwei Wan, 2022. "Contract rescission in the real estate presale market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(4), pages 1054-1106, December.

  3. Steven P. Clark & Mike Dickson, 2019. "Performance expectations of basic options strategies may be different than you think," Journal of Asset Management, Palgrave Macmillan, vol. 20(2), pages 91-102, March.

    Cited by:

    1. Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
    2. Lingling Xu & Hongjie Zhang & Fu Lee Wang, 2023. "Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method," Mathematics, MDPI, vol. 11(3), pages 1-14, January.
    3. Dörries, Julian & Korn, Olaf & Power, Gabriel J., 2023. "How should the long-term investor harvest variance risk premiums?," CFR Working Papers 23-06, University of Cologne, Centre for Financial Research (CFR).

  4. Steven P. Clark & David C. Marlett & Faith R. Neale, 2018. "Regulatory Capture And Efficacy In Workers’ Compensation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 85(3), pages 663-694, September.

    Cited by:

    1. Chengda Liu & Huiwen Zhou & Hui Liu, 2021. "The Sustainable Development and Expenditure: Revenues Nexus of the WII Fund in China," SAGE Open, , vol. 11(2), pages 21582440211, May.
    2. Courtney B. Baggett & Cassandra R. Cole & George Crowley & E. Tice Sirmans, 2020. "Spillover effects of increased health insurance enrollment on workers’ compensation insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 23(1), pages 53-74, March.

  5. Min Park & Steven P. Clark, 2015. "A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(6), pages 499-521, December.

    Cited by:

    1. Brown, Scott & Powers, Eric, 2020. "The life cycle of make-whole call provisions," Journal of Corporate Finance, Elsevier, vol. 65(C).
    2. Afik, Zvika & Jacoby, Gady & Stangeland, David & Wu, Zhenyu, 2019. "The make-whole and Canada-call provisions: A case of cross-country spillover of financial innovation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 120-127.

  6. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.

    Cited by:

    1. Salisu, Afees A. & Ndako, Umar B. & Adediran, Idris A. & Swaray, Raymond, 2020. "A fractional cointegration VAR analysis of Islamic stocks: A global perspective," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    2. Mina Taniguchi & Kozo Kiyota & Sawako Maruyama, 2021. "The China Syndrome: A Cross-Country Evidence," Keio-IES Discussion Paper Series 2021-003, Institute for Economics Studies, Keio University.
    3. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.

  7. Michael A Kelly & Steven P Clark, 2011. "Returns in trading versus non-trading hours: The difference is day and night," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 132-145, June.

    Cited by:

    1. Wenyang Huang & Huiwen Wang & Shanshan Wang, 2024. "A structural VAR and VECM modeling method for open-high-low-close data contained in candlestick chart," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-29, December.
    2. Marie‐Eve Lachance, 2023. "Night trading: Lower risk but higher returns?," Review of Financial Economics, John Wiley & Sons, vol. 41(4), pages 347-363, October.
    3. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    4. Lou, Dong & Polk, Christopher & Skouras, Spyros, 2019. "A tug of war: Overnight versus intraday expected returns," Journal of Financial Economics, Elsevier, vol. 134(1), pages 192-213.
    5. Boyarchenko, Nina & Larsen, Lars & Whelan, Paul, 2020. "The Overnight Drift," CEPR Discussion Papers 14462, Centre for Economic Policy Research.
    6. Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018. "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(1), pages 71-98, February.
    7. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
    8. Patrizia Perras & Niklas Wagner, 2020. "On the pricing of overnight market risk," Empirical Economics, Springer, vol. 59(3), pages 1307-1327, September.
    9. Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 2021. "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 849-889, April.
    10. Hongyi Yang & Zhiyu Chen & Xinying Zhang & Yun Xu, 2025. "The “T+1” Trading Rule and Put‐Call Disparity in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2314-2331, December.
    11. Yang, Ge & Yin, Ximing, 2024. "Stock price delay and the cross-section of expected returns: A story of night and day," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    12. Laurence E. Blose & Vijay Gondhalekar & Alan Kort, 2018. "Overnight versus day returns in gold and gold related assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 526-549, July.
    13. Lin, Chaonan & Chang, Hui-Wen & Chou, Robin K., 2023. "Overnight versus intraday returns of anomalies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    14. Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
    15. Aparna Bhat & Piyush Pandey & S. V. D. Nageswara Rao, 2024. "The asymmetry in day and night option returns: Evidence from an emerging market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1320-1337, August.
    16. Xiao, Xijuan & Yamamoto, Ryuichi, 2024. "Overnight earnings announcements and preopening price discovery," Japan and the World Economy, Elsevier, vol. 70(C).
    17. Kotaro Miwa, 2019. "Short-Term Return Reversals and Intraday Transactions," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-25, March.
    18. Huang, Wenyang & Zhao, Jianyu & Wang, Xiaokang, 2024. "Model-driven multimodal LSTM-CNN for unbiased structural forecasting of European Union allowances open-high-low-close price," Energy Economics, Elsevier, vol. 132(C).
    19. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
    20. Linton, O. & Wu, J., 2016. "A coupled component GARCH model for intraday and overnight volatility," Cambridge Working Papers in Economics 1671, Faculty of Economics, University of Cambridge.
    21. Semenov, Andrei, 2015. "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 178-197.
    22. Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
    23. Kotaro Miwa, 2020. "Market Closures and Cross-sectional Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 1-33, March.
    24. Lachance, Marie-Eve, 2021. "ETFs’ high overnight returns: The early liquidity provider gets the worm," Journal of Financial Markets, Elsevier, vol. 52(C).
    25. Hendershott, Terrence & Livdan, Dmitry & Rösch, Dominik, 2020. "Asset pricing: A tale of night and day," Journal of Financial Economics, Elsevier, vol. 138(3), pages 635-662.
    26. Qiao, Kenan & Dam, Lammertjan, 2020. "The overnight return puzzle and the “T+1” trading rule in Chinese stock markets," Journal of Financial Markets, Elsevier, vol. 50(C).
    27. Xie, Jun & Xia, Wenqian & Gao, Bin, 2025. "Overnight information and anomalies," Research in International Business and Finance, Elsevier, vol. 78(C).
    28. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
    29. Ho, Hsiao-Wei & Hsiao, Yu-Jen & Lo, Wen-Chi & Yang, Nien-Tzu, 2023. "Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    30. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    31. Siddiqi, Hammad, 2019. "CAPM: A Tale of Two Versions," MPRA Paper 92798, University Library of Munich, Germany.
    32. Yahui An & Lin Huang & Youwei Li, 2022. "The Asymmetric Overnight Return Anomaly in the Chinese Stock Market," JRFM, MDPI, vol. 15(11), pages 1-20, November.
    33. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2020. "Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    34. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
    35. Huang, Wenyang & Gao, Tianxiao & Hao, Yun & Wang, Xiuqing, 2023. "Transformer-based forecasting for intraday trading in the Shanghai crude oil market: Analyzing open-high-low-close prices," Energy Economics, Elsevier, vol. 127(PA).
    36. Perras, Patrizia & Wagner, Niklas, 2025. "Give me a break: What does the equity premium compensate for?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).

  8. Clark, Steven P. & Coggin, T. Daniel, 2011. "Was there a U.S. house price bubble? An econometric analysis using national and regional panel data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 189-200, May.

    Cited by:

    1. Lee, Jin Man & Choi, Jin Wook, 2011. "The Role of House Flippers in a Boom and Bust Real Estate Market," The Journal of Economic Asymmetries, Elsevier, vol. 8(2), pages 91-109.
    2. Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
    3. Wen-Chi LIU, 2016. "Do Multiple Housing Bubbles Exist in China? Further Evidence from Generalized Sup ADF Tests," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 135-145, December.
    4. Mumtaz Ahmed & Liviu Marian Matac & Naureen Maqbool & Asma Salman & Muthanna G. Abdul Razzaq & Lara Al-Haddad & Codruta Daniela Pavel, 2024. "Bubbles Identification in an Emerging Economy and Within Stock Markets of its Trading Partners: Evidence from a GSADF Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-27, December.
    5. Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi, 2015. "Bubbles in health care: Evidence from the U.S., U.K., and German stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 193-205.
    6. Fengyun Liu & Deqiang Liu & Reza Malekian & Zhixiong Li & Deqing Wang, 2017. "A measurement model for real estate bubble size based on the panel data analysis: An empirical case study," PLOS ONE, Public Library of Science, vol. 12(3), pages 1-26, March.
    7. Zhang, Yue-Jun & Wang, Jing, 2015. "Exploring the WTI crude oil price bubble process using the Markov regime switching model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 377-387.
    8. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
    9. Vicente Esteve & María A. Prats, 2021. "Testing for rational bubbles in Australian housing market from a long-term perspective," Working Papers 2113, Department of Applied Economics II, Universidad de Valencia.
    10. Gueye, Ghislain Nono, 2021. "Pitfalls in the cointegration analysis of housing prices with the macroeconomy: Evidence from OECD countries," Journal of Housing Economics, Elsevier, vol. 51(C).
    11. MeiChi Huang, 2022. "Time‐varying roles of housing risk factors in state‐level housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4660-4683, October.
    12. Wen-Yuan Lin & I-Chun Tsai, 2016. "Asymmetric Fluctuating Behavior of China's Housing Prices," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 24(2), pages 107-126, March.
    13. Konstantin A. Kholodilin & Claus Michelsen & Dirk Ulbricht, 2018. "Speculative price bubbles in urban housing markets," Empirical Economics, Springer, vol. 55(4), pages 1957-1983, December.
    14. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    15. J. R. Kim & K. Chung, 2014. "Regime switching and the (in)stability of the price-rent relationship: evidence from the US," Applied Economics, Taylor & Francis Journals, vol. 46(33), pages 4041-4052, November.
    16. Esteve Vicente & Prats Maria A., 2021. "Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 72-84, January.
    17. Lilia Karnizova, 2013. "Letting the speculative and the news views of the Japanese business cycle compete," Economics Bulletin, AccessEcon, vol. 33(2), pages 1146-1158.
    18. Kim, Jan R. & Lim, Gieyoung, 2016. "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, vol. 59(C), pages 174-181.
    19. Nafeesa Yunus, 2016. "Modelling interactions among the housing market and key US sectors," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 121-146, April.
    20. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    21. MeiChi Huang, 2021. "Regime switches and permanent changes in impacts of housing risk factors on MSA‐level housing returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 310-342, January.
    22. Tsai, I-Chun & Lin, Che-Chun, 2022. "A re-examination of housing bubbles: Evidence from European countries," Economic Systems, Elsevier, vol. 46(2).
    23. I-Chun Tsai, 2012. "Housing Supply, Demand and Price: Construction Cost, Rental Price and House Price Indices," Asian Economic Journal, East Asian Economic Association, vol. 26(4), pages 381-396, December.
    24. Fong Kean Yan & Yap Lya Keng & Kwek Kien Teng, 2016. "Empirical Analysis of House Price Bubble: A Case Study on Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(12), pages 127-127, November.
    25. Alisa Yevgenyevna Yusupova & Efthymios Pavlidis & Ivan Paya & David Alan Peel, 2017. "Exuberance in the U.K. Regional Housing Markets," Working Papers 168117137, Lancaster University Management School, Economics Department.
    26. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 29(1), pages 79-90, May.
    27. Huang, MeiChi, 2018. "Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 145-172.
    28. André K. Anundsen, 2019. "Detecting Imbalances in House Prices: What Goes Up Must Come Down?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1587-1619, October.
    29. Álvarez-Román, Laura & García-Posada, Miguel, 2021. "Are house prices overvalued in Spain? A regional approach," Economic Modelling, Elsevier, vol. 99(C).
    30. Wei-Fong Pan, 2019. "Detecting bubbles in China’s regional housing markets," Empirical Economics, Springer, vol. 56(4), pages 1413-1432, April.
    31. Nichols, Joseph B. & Oliner, Stephen D. & Mulhall, Michael R., 2013. "Swings in commercial and residential land prices in the United States," Journal of Urban Economics, Elsevier, vol. 73(1), pages 57-76.
    32. I-Chun Tsai, 2015. "Monetary policy and bubbles in the national and regional UK housing markets," Urban Studies, Urban Studies Journal Limited, vol. 52(8), pages 1471-1488, June.
    33. Itamar Caspi, 2015. "Testing for a Housing Bubble at the National and Regional Level: The Case of Israel," Bank of Israel Working Papers 2015.05, Bank of Israel.
    34. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "Long-Run Trends and Cycles in US House Prices," CESifo Working Paper Series 10751, CESifo.
    35. Tsangyao Chang & Wen-Chi Liu & Goodness C. Aye & Rangan Gupta, 2013. "Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201377, University of Pretoria, Department of Economics.
    36. Kruse, Yves Robinson & Kaufmann, Hendrik, 2015. "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112897, Verein für Socialpolitik / German Economic Association.
    37. Guglielmo Maria Caporale & Alfonso Dominguez & Luis Alberiko Gil-Alana, 2025. "Testing for Persistence in Real House Prices in 47 Countries from the OECD Database," CESifo Working Paper Series 11662, CESifo.
    38. Yunus, Nafeesa, 2015. "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 100-112.
    39. Giorgio Canarella & Luis Gil-Alana & Rangan Gupta & Stephen M Miller, 2021. "Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data," Urban Studies, Urban Studies Journal Limited, vol. 58(1), pages 53-72, January.
    40. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    41. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 123-138, Septiembr.
    42. Hamid Norfiqiri & Razali Muhammad Najib & Azmi Fatin Afiqah & Daud Siti Zaleha & Yunus Nurhidayah Md., 2022. "Prospecting Housing Bubbles in Malaysia," Real Estate Management and Valuation, Sciendo, vol. 30(4), pages 74-88, December.
    43. Chelghoum, Amirouche & Boumimez, Fayçal & Alsamara, Mouyad, 2025. "Factors influencing asymmetries in Saudi Arabia's housing market," The Journal of Economic Asymmetries, Elsevier, vol. 31(C).
    44. Kim, Jan R. & Chung, Keunsuk, 2020. "Regime switching in the present value models: A backward-solving method," Finance Research Letters, Elsevier, vol. 32(C).
    45. Yue-Jun Zhang & Ting Yao & Zi-Yi Wang, 2015. "The bubble process of international crude oil futures prices: empirical evidence from the STAR model," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 109-125.
    46. Duran, Hasan Engin & Özdoğan, Hilal, 2020. "Asymmetries across regional housing markets in Turkey," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    47. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
    48. I-Chun Tsai, 2017. "The housing market and excess monetary liquidity in China," Empirical Economics, Springer, vol. 53(2), pages 599-615, September.
    49. Konstantin Kholodilin, 2015. "Speculative Bubbles in Urban Housing Markets in Germany," ERSA conference papers ersa15p67, European Regional Science Association.

  9. Neale Faith R. & Drake Pamela Peterson & Clark Steven P., 2010. "Diversification in the Financial Services Industry: The Effect of the Financial Modernization Act," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 10(1), pages 1-30, March.

    Cited by:

    1. Filson, Darren & Olfati, Saman, 2014. "The impacts of Gramm–Leach–Bliley bank diversification on value and risk," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 209-221.

  10. Steven Clark & T. Coggin, 2009. "Trends, Cycles and Convergence in U.S. Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 264-283, October.

    Cited by:

    1. MeiChi Huang, 2017. "Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals," International Finance, Wiley Blackwell, vol. 20(1), pages 64-91, March.
    2. Omar H. M. N. Bashar, 2021. "An Intra-City Analysis of House Price Convergence and Spatial Dependence," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 525-546, November.
    3. Geoffrey Ngene & Charles Lambert & Ali Darrat, 2015. "Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 465-483, May.
    4. Zietz, Joachim & Traian, Anca, 2014. "When was the U.S. housing downturn predictable? A comparison of univariate forecasting methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 271-281.
    5. William Miles, 2023. "Regional house price co-movement in the USA: the medium cycle is not the business cycle," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 71(2), pages 437-462, October.
    6. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    7. Rui Lin & Xin Zhang & Xiuting Li & Jichang Dong, 2015. "Heterogeneous convergence of regional house prices and the complexity in China," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 33(2), pages 325-348.
    8. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.
    9. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "Investigating regional house price convergence in the United States: Evidence from a pair-wise approach," Economic Modelling, Elsevier, vol. 28(6), pages 2369-2376.
    10. Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016, January-A.
    11. Eleni Kyriazakou & Theodore Panagiotidis, 2018. "A nonlinear pairwise approach for the convergence of UK regional house prices," International Economics and Economic Policy, Springer, vol. 15(2), pages 467-481, April.
    12. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    13. Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019. "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, vol. 43(C), pages 37-55.
    14. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    15. Schindler, Felix, 2009. "Volatilitätseffekte am US-amerikanischen Häusermarkt," ZEW Discussion Papers 09-048, ZEW - Leibniz Centre for European Economic Research.
    16. I-Chun Tsai, 2012. "Housing Supply, Demand and Price: Construction Cost, Rental Price and House Price Indices," Asian Economic Journal, East Asian Economic Association, vol. 26(4), pages 381-396, December.
    17. Kuang-Liang Chang, 2012. "Analysis of structural changes in the relationship between regional housing markets in Taiwan," Economics Bulletin, AccessEcon, vol. 32(3), pages 2220-2230.
    18. William Miles, 2015. "Regional House Price Segmentation and Convergence in the US: A New Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 50(1), pages 113-128, January.
    19. MeiChi Huang & LinYing Yeh, 2015. "Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 762-781, October.
    20. Dorinth W. Dijk & Marc K. Francke, 2025. "Commonalities in Private Commercial Real Estate Market Liquidity and Price Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 71(2), pages 141-177, August.
    21. Ryan Greenaway-McGrevy & Arthur Grimes & Mark Holmes, 2016. "Two Countries, Sixteen Cities, Five Thousand Kilometres: How Many Housing Markets?," Motu Working Papers 16_04, Motu Economic and Public Policy Research.
    22. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    23. Miles, William, 2020. "House price convergence in the euro zone: A pairwise approach," Economic Systems, Elsevier, vol. 44(3).
    24. Bing Zhu & Dorinth van Dijk & Colin Lizieri, 2021. "Price diffusion across international private commercial real estate markets," Working Papers 732, DNB.
    25. John Cotter & Stuart Gabriel & Richard Roll, 2014. "Can housing risk be diversified? A cautionary tale from the housing boom and bust," Working Papers 201412, Geary Institute, University College Dublin.
    26. Nikolaos Antonakakis & Ioannis Chatziantoniou & Christos Floros & David Gabauer, 2018. "The dynamic connectedness of UK regional property returns," Urban Studies, Urban Studies Journal Limited, vol. 55(14), pages 3110-3134, November.
    27. Arthur Grimes & Mark Holmes, 2010. "New Zealand Housing Markets: Just a Bit-Player in the A-League?," Motu Working Papers 10_07, Motu Economic and Public Policy Research.
    28. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Floros, Christos, 2015. "Dynamic Connectedness of UK Regional Property Prices," MPRA Paper 68421, University Library of Munich, Germany.
    29. Alexey Akimov & Simon Stevenson & James Young, 2015. "Synchronisation and commonalities in metropolitan housing market cycles," Urban Studies, Urban Studies Journal Limited, vol. 52(9), pages 1665-1682, July.
    30. I-Chun Tsai, 2015. "Monetary policy and bubbles in the national and regional UK housing markets," Urban Studies, Urban Studies Journal Limited, vol. 52(8), pages 1471-1488, June.
    31. Tomal Mateusz, 2019. "House Price Convergence on the Primary and Secondary Markets: Evidence from Polish Provincial Capitals," Real Estate Management and Valuation, Sciendo, vol. 27(4), pages 62-73, December.
    32. William D. Larson & Weihua Zhao, 2020. "Oil Prices and Urban Housing Demand," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(3), pages 808-849, September.
    33. Nicholas Apergis & James Payne, 2012. "Convergence in U.S. house prices by state: evidence from the club convergence and clustering procedure," Letters in Spatial and Resource Sciences, Springer, vol. 5(2), pages 103-111, July.
    34. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2019. "Property heterogeneity and convergence club formation among local house prices," Journal of Housing Economics, Elsevier, vol. 43(C), pages 1-13.
    35. Payne, James E., 2012. "The Long-Run Relationship among Regional Housing Prices: An Empirical Analysis of the U.S," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 42(01), pages 1-8.
    36. David Gray, 2020. "An international housing market in the British Isles: Evidence from business and medium-term cycles using a Friedman test," Urban Studies, Urban Studies Journal Limited, vol. 57(2), pages 307-322, February.
    37. Michael A. Flor & Torben Klarl, 2015. "On the Cyclicity of Regional House Prices: New Evidence for U.S. Metropolitan Statistical Areas," CESifo Working Paper Series 5471, CESifo.
    38. Nissan, Edward & Payne, James E., 2013. "A Simple Test of σ-Convergence in U.S. Housing Prices across BEA Regions," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 43(2).
    39. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
    40. Clark, Steven P. & Coggin, T. Daniel, 2011. "Was there a U.S. house price bubble? An econometric analysis using national and regional panel data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 189-200, May.
    41. Francisco Blanco & Victor Martín & Guillermo Vazquez, 2016. "Regional house price convergence in Spain during the housing boom," Urban Studies, Urban Studies Journal Limited, vol. 53(4), pages 775-798, March.
    42. Tsai, I-Chun, 2018. "House price convergence in euro zone and non-euro zone countries," Economic Systems, Elsevier, vol. 42(2), pages 269-281.
    43. Kang, Wensheng, 2011. "Housing price dynamics and convergence in high-tech metropolitan economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 283-291, June.
    44. William Miles & Xiaoyang Zhu, 2026. "Convergence in House Price Cycles across the US: Recent Developments and the Impact of Covid," The Journal of Real Estate Finance and Economics, Springer, vol. 72(2), pages 451-476, February.
    45. David Gray, 2021. "A simple measure of beta-convergence revisited," Urban Studies, Urban Studies Journal Limited, vol. 58(12), pages 2569-2583, September.
    46. Kim, Young Se & Rous, Jeffrey J., 2012. "House price convergence: Evidence from US state and metropolitan area panels," Journal of Housing Economics, Elsevier, vol. 21(2), pages 169-186.
    47. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013. "Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure," Working Papers 201322, University of Pretoria, Department of Economics.

  11. Richard Buttimer & Steven Clark & Steven Ott, 2008. "Land Development: Risk, Return and Risk Management," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 81-102, January.

    Cited by:

    1. Guoliang Xu & Xiaonan Yin & Guangdong Wu & Ning Gao, 2022. "Rethinking the Contribution of Land Element to Urban Economic Growth: Evidence from 30 Provinces in China," Land, MDPI, vol. 11(6), pages 1-16, May.
    2. Su Chan & Ko Wang & Jing Yang, 2012. "Presale Contract and its Embedded Default and Abandonment Options," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 116-152, January.
    3. Quan Gan & Maggie Rong Hu & Wayne Xinwei Wan, 2022. "Contract rescission in the real estate presale market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(4), pages 1054-1106, December.
    4. Ming-Cheng WU & I-Cheng LIN & Yi-Ting HUANG & Chang-Rong, 2015. "Forecasting Prices Of Presale Houses: A Real Option Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 143-158, March.

  12. Blenman, Lloyd P. & Clark, Steven P., 2005. "Power exchange options," Finance Research Letters, Elsevier, vol. 2(2), pages 97-106, June.

    Cited by:

    1. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Jun 2025.
    2. Tiong, Serena, 2013. "Pricing inflation-linked variable annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 77-86.
    3. Mittal, Priya & Selvamuthu, Dharmaraja, 2025. "Vulnerable power exchange options with liquidity risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 672(C).
    4. Liang Wang & Weixuan Xia, 2022. "Power‐type derivatives for rough volatility with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
    5. Xu, Guangli & Shao, Xinjian & Wang, Xingchun, 2019. "Analytical valuation of power exchange options with default risk," Finance Research Letters, Elsevier, vol. 28(C), pages 265-274.
    6. Yiying Cheng & Steven P. Clark & Kiplan S. Womack, 2021. "A Real Options Model of Real Estate Development with Entitlement Risk," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 106-151, March.
    7. Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing exchange options with stochastic liquidity and regime switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 662-676, May.
    8. Tsvetelin S. Zaevski & Hristo Sariev & Mladen Savov, 2025. "A Fast and Accurate Numerical Approach for Pricing American-Style Power Options," Mathematics, MDPI, vol. 13(12), pages 1-25, June.
    9. Wang, Xingchun, 2016. "Pricing power exchange options with correlated jump risk," Finance Research Letters, Elsevier, vol. 19(C), pages 90-97.
    10. Wang, Xingchun, 2020. "Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 16-26.

  13. Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.

    Cited by:

    1. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
    2. Philippe Jacquinot & Nikolay Sukhomlin, 2010. "A direct formulation of implied volatility in the Black-Scholes model," Post-Print hal-02533014, HAL.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.