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- W2941497170 abstract "Abstract This study extends the literature on modeling the volatility of housing returns to the case of condominium returns for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Through the estimation of ARMA models for the respective condominium returns, we find volatility clustering of the residuals. The results from an ARMA‐TGARCH‐M model reveal the absence of asymmetry in the conditional variance. Dummy variables associated with the housing market collapse unique to each metropolitan area were statistically insignificant in the conditional variance equation, but negative and statistically significant in the mean equation. Condominium markets in Los Angeles and San Francisco exhibit the greatest persistence to volatility shocks." @default.
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- W2941497170 date "2019-04-22" @default.
- W2941497170 modified "2023-10-16" @default.
- W2941497170 title "Modeling the time varying volatility of housing returns: Further evidence from the U.S. metropolitan condominium markets" @default.
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- W2941497170 doi "https://doi.org/10.1002/rfe.1063" @default.
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