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dc.contributor.authorMiles, William
dc.date.accessioned2017-04-27T16:29:04Z
dc.date.available2017-04-27T16:29:04Z
dc.date.issued2008
dc.identifier.citationMiles, William, Volatility Clustering in U.S. Home Prices. Journal of Real Estate Research, Vol. 30, No. 1, 2008
dc.identifier.issn0896-5803
dc.identifier.otherWOS:000253920500004
dc.identifier.urihttp://aresjournals.org/doi/abs/10.5555/rees.30.1.2n3v544976h11635
dc.identifier.urihttp://hdl.handle.net/10057/13034
dc.descriptionClick on the URL link to access the article (may not be free).
dc.description.abstractGeneralized 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 vital for portfolio management. Previous investigations of GARCH in housing have focused on narrow regions or aggregated effects of GARCH across markets, imposing one nationwide effect. This paper tests fifty state housing markets for GARCH, and develops individual GARCH models for those states, allowing for different effects in each. Results indicate there are GARCH effects in over half the states, and the signs and magnitudes vary widely, highlighting the importance of estimating separate GARCH models for each market.
dc.language.isoen_US
dc.publisherAmerican Real Estate Society
dc.relation.ispartofseriesJournal of Real Estate Research;v.30:no.1
dc.subjectGARCH
dc.subjectHousing market
dc.titleVolatility clustering in US home prices
dc.typeArticle
dc.rights.holderCopyright American Real Estate Society. All rights reserved.


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