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Volumn 13, Issue 1, 2007, Pages 17-28

Dynamic correlation: A tool for hedging house price risk?

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Indexed keywords


EID: 34248526316     PISSN: 10835547     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (14)

References (17)
  • 2
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    • Stochastic Correlation Across International Stock Markets
    • Ball, C.A. and W.N. Torous. Stochastic Correlation Across International Stock Markets. Journal of Empirical Finance, 2000, 7, 373-88.
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    • Ball, C.A.1    Torous, W.N.2
  • 3
    • 34248576987 scopus 로고    scopus 로고
    • Hedging Housing Risk and the New Economy: Is There a Connection, and Should Firms Care?
    • Berg, N. Hedging Housing Risk and the New Economy: Is There a Connection, and Should Firms Care? Global Business and Economics Review, 2003, 5:1, 10-36.
    • (2003) Global Business and Economics Review , vol.5 , Issue.1 , pp. 10-36
    • Berg, N.1
  • 4
    • 0002905632 scopus 로고
    • Prices of Single-Family Homes Since 1970: New Indexes for Four Cities
    • Case, K.E. and R.J. Shiller. Prices of Single-Family Homes Since 1970: New Indexes for Four Cities. New England Economic Review, 1987, 87, 45-6.
    • (1987) New England Economic Review , vol.87 , pp. 45-46
    • Case, K.E.1    Shiller, R.J.2
  • 5
    • 0039116889 scopus 로고    scopus 로고
    • Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate
    • Case, K.E., R.J. Shiller, and A.N. Weiss. Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate. Journal of Housing Research, 1996, 7:2, 243-58.
    • (1996) Journal of Housing Research , vol.7 , Issue.2 , pp. 243-258
    • Case, K.E.1    Shiller, R.J.2    Weiss, A.N.3
  • 6
    • 0002879676 scopus 로고    scopus 로고
    • Correlation in Price Changes and Volatility of Major Latin American Stock Markets
    • Christofi, A. and A. Pericli. Correlation in Price Changes and Volatility of Major Latin American Stock Markets. Journal of Multinational Financial Management, 1999, 9, 19-93.
    • (1999) Journal of Multinational Financial Management , vol.9 , pp. 19-93
    • Christofi, A.1    Pericli, A.2
  • 7
    • 21344466714 scopus 로고    scopus 로고
    • Property Shares, Appraisals and the Stock Market: An International Perspective
    • Eichholtz, P.M.A. and D.J. Hartzell. Property Shares, Appraisals and the Stock Market: An International Perspective. Journal of Real Estate Finance and Economics, 1996, 12:2, 163-78.
    • (1996) Journal of Real Estate Finance and Economics , vol.12 , Issue.2 , pp. 163-178
    • Eichholtz, P.M.A.1    Hartzell, D.J.2
  • 11
    • 0031286983 scopus 로고    scopus 로고
    • Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets
    • Okunev, J. and P.J. Wilson. Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets. Real Estate Economics, 1997, 25:3, 487-503.
    • (1997) Real Estate Economics , vol.25 , Issue.3 , pp. 487-503
    • Okunev, J.1    Wilson, P.J.2
  • 12
    • 0000424562 scopus 로고
    • Arithmetic Repeat Sales Price Estimators
    • Shiller, R., Arithmetic Repeat Sales Price Estimators. Journal of Housing Economics, 1991, 1, 110-26.
    • (1991) Journal of Housing Economics , vol.1 , pp. 110-126
    • Shiller, R.1
  • 13
    • 31344434167 scopus 로고
    • Testing the Cointegration of House and Stock Price in Finland
    • Takala, K. and P. Pekka. Testing the Cointegration of House and Stock Price in Finland. Finnish Economic Papers, 1991, 4:1, 33-51.
    • (1991) Finnish Economic Papers , vol.4 , Issue.1 , pp. 33-51
    • Takala, K.1    Pekka, P.2
  • 14
    • 0001238883 scopus 로고    scopus 로고
    • Test for Constant Correlations in a Multivariate GARCH Model
    • Tse, Y.K. A Test for Constant Correlations in a Multivariate GARCH Model. Journal of Econometrics, 2000, 98, 107-27.
    • (2000) Journal of Econometrics , vol.98 , pp. 107-127
    • Tse, Y.K.A.1
  • 16
    • 0002226436 scopus 로고    scopus 로고
    • Estimating House Price Growth with Repeat Sales Data: What is the Aim of the Game?
    • Wang, F.T. and P.M. Zorn. Estimating House Price Growth with Repeat Sales Data: What is the Aim of the Game? Journal of Housing Economics, 1999, 6, 93-118.
    • (1999) Journal of Housing Economics , vol.6 , pp. 93-118
    • Wang, F.T.1    Zorn, P.M.2
  • 17
    • 34248589017 scopus 로고    scopus 로고
    • The Impact of Structural Breaks on the Integration of Property and Stock Markets in South Africa and Australia
    • Wilson, P., J. Okunev, and P. Du Plessis. The Impact of Structural Breaks on the Integration of Property and Stock Markets in South Africa and Australia. Journal for Studies in Economics and Econometrics, 1998, 22:3, 43-70.
    • (1998) Journal for Studies in Economics and Econometrics , vol.22 , Issue.3 , pp. 43-70
    • Wilson, P.1    Okunev, J.2    Du Plessis, P.3


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