Now showing items 48-49 of 49

    • Volatility clustering in US home prices 

      Miles, William (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 

      Miles, William (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. ...