Browsing Business by Subject "GARCH"
Now showing items 1-4 of 4
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Long-range dependence in U.S. home price volatility
(Springer, 2011-04)The existence of GARCH effects in a financial price series means that the probability of large losses is much higher than standard mean-variance analysis suggests. Accordingly, several recent papers have investigated whether ... -
Monetary shocks, equity returns and volatility: a firm-level panel data analysis
(Routledge Journals, Taylor & Francis Group, 2016)This article studies the impact of monetary policy shocks on equity returns and their volatility among nine industries and their affiliated firms in the United States. We use an extension of the traditional CAPM as the ... -
Volatility clustering in US home prices
(American Real Estate Society, 2008)Generalized autoregressive conditional heteroscedasticity (GARCH) effects imply the probability of large losses is greater than standard mean-variance analysis suggests. Accurately capturing GARCH for housing markets is ... -
Volatility transmission in U.K. housing: a multivariate GARCH approach
(American Real Estate Society, 2010)Despite its importance for gauging the probability of large losses and portfolio management, there has not been an investigation of how GARCH conditional volatility is transmitted between regions in the United Kingdom. ...