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Asset Market Correlation and Stress Testing: Cases for Housing and Stock Markets

https://doi.org/10.2139/ssrn.1692574
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s11146-006-8271-8openalex-extracted
Exploring Metropolitan Housing Price Volatility
inferredcites →https://doi.org/10.1007/s11146-008-9144-0openalex-extracted
Mortgage Put Options and Real Estate Markets
inferredcites →https://doi.org/10.1007/s11146-009-9207-xopenalex-extracted
Housing Price Dynamics in Time and Space: Predictability, Liquidity and Investor Returns
inferredcites →https://doi.org/10.1016/j.jhe.2007.12.001openalex-extracted
Where are the speculative bubbles in US housing markets?
inferredcites →https://doi.org/10.1016/j.jue.2008.05.004openalex-extracted
Testing the efficiency of the Norwegian housing market
inferredcites →https://doi.org/10.1016/s0304-3932(98)00021-xopenalex-extracted
Intrinsic bubbles and regime-switching
inferredcites →https://doi.org/10.1017/s0266466600009063openalex-extracted
Multivariate Simultaneous Generalized ARCH
inferredcites →https://doi.org/10.1023/a:1007772018106openalex-extracted
Appraisals, Transaction Incentives, and Smoothing
inferredcites →https://doi.org/10.1080/0042098032000074317openalex-extracted
Appraisal Smoothing and Price Discovery in Real Estate Markets
inferredcites →https://doi.org/10.1080/10835547.2008.12091212openalex-extracted
The 1998-2005 Housing “Bubble” and the Current “Correction”: What’s Different This Time?
inferredcites →https://doi.org/10.1086/261527openalex-extracted
A Capital Asset Pricing Model with Time-Varying Covariances
inferredcites →https://doi.org/10.1111/1467-9485.00105openalex-extracted
On the Aggregate Housing Market Implications of Labour Market Change
inferredcites →https://doi.org/10.1111/1540-6229.00064openalex-extracted
Assessing the Forecasting Performance of Regime‐Switching, ARIMA and GARCH Models of House Prices
inferredcites →https://doi.org/10.1111/j.1080-8620.2004.00082.xopenalex-extracted
An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets
inferredcites →https://doi.org/10.1111/j.1467-6419.2007.00530.xopenalex-extracted
ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK*
inferredcites →https://doi.org/10.1162/003465399558085openalex-extracted
Residential Buildings and the Cost of Construction: New Evidence on the Efficiency of the Housing Market
inferredcites →https://doi.org/10.2139/ssrn.1331247openalex-extracted
Return and Volatility Spillovers in Hong Kong Financial Markets
inferredcites →https://doi.org/10.2139/ssrn.1333646openalex-extracted
Determinants of House Prices in Nine Asia-Pacific Economies
inferredcites →https://doi.org/10.2139/ssrn.236998openalex-extracted
Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models
inferredcites →https://doi.org/10.2139/ssrn.468300openalex-extracted
inferredcites →https://doi.org/10.3386/w3091openalex-extracted
Intrinsic Bubbles: The Case of Stock Prices
inferredcites →https://doi.org/10.3386/w8554openalex-extracted
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
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