메뉴 건너뛰기




Volumn 39, Issue 4, 2009, Pages 403-414

Uk housing market: Time series processes with independent and identically distributed residuals

Author keywords

Iid; Independent and identically distributed residuals; UK house prices

Indexed keywords


EID: 70350743740     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-008-9117-3     Document Type: Article
Times cited : (7)

References (36)
  • 1
    • 0040387232 scopus 로고    scopus 로고
    • On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange
    • Al-Loughani, N., Chappell, D. (1997) On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange. Applied Financial Economics, 7, 173-176.
    • (1997) Applied Financial Economics , vol.7 , pp. 173-176
    • Al-Loughani, N.1    Chappell, D.2
  • 2
    • 33645847227 scopus 로고    scopus 로고
    • The downpayment constraint and the UK housing market: Does the theory fit the facts?
    • Benito, A. (2006) The downpayment constraint and the UK housing market: does the theory fit the facts? Journal of Housing Economics, 15(1), 1-20.
    • (2006) Journal of Housing Economics , vol.15 , Issue.1 , pp. 1-20
    • Benito, A.1
  • 3
    • 0037245473 scopus 로고    scopus 로고
    • The conditional distribution of real estate returns: Are higher moments time varying?
    • Bond, S. A., Patel, K. (2003) The conditional distribution of real estate returns: Are higher moments time varying? Journal of Real Estate Finance and Economics, 26(2/3), 319-339.
    • (2003) Journal of Real Estate Finance and Economics , vol.26 , Issue.2-3 , pp. 319-339
    • Bond, S.A.1    Patel, K.2
  • 6
    • 0002502359 scopus 로고    scopus 로고
    • The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
    • Brooks, C., Heravi, S. M. (1999) The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test. Computational Economics, 13, 147-162.
    • (1999) Computational Economics , vol.13 , pp. 147-162
    • Brooks, C.1    Heravi, S.M.2
  • 7
    • 27244432263 scopus 로고    scopus 로고
    • The BDS test as a test for the adequacy of a GARCH(1,1) specification: A Monte Carlo study
    • Caporale, G. M., Ntantaunis, C., Pantelidis, T., Pittis, N. (2005) The BDS test as a test for the adequacy of a GARCH(1,1) specification: A Monte Carlo study. Journal of Financial Econometrics, 3(2), 282-309.
    • (2005) Journal of Financial Econometrics , vol.3 , Issue.2 , pp. 282-309
    • Caporale, G.M.1    Ntantaunis, C.2    Pantelidis, T.3    Pittis, N.4
  • 10
    • 47349107308 scopus 로고    scopus 로고
    • UK house prices, consumption and GDP in a global context
    • Working paper. Retrieved from
    • Farlow, A. (2005). UK house prices, consumption and GDP in a global context. Working paper. Retrieved from http://www.economics.ox.ac.uk/members/andrew.farlow.
    • (2005)
    • Farlow, A.1
  • 12
    • 34248562136 scopus 로고    scopus 로고
    • The relative effect of property type and country factors in risk reduction of internationally diversified real estate portfolios
    • Glascock, J. L., Kelly, L. J. (2007) The relative effect of property type and country factors in risk reduction of internationally diversified real estate portfolios. Journal of Real Estate Finance and Economics, 34, 369-384.
    • (2007) Journal of Real Estate Finance and Economics , vol.34 , pp. 369-384
    • Glascock, J.L.1    Kelly, L.J.2
  • 13
    • 33751531827 scopus 로고    scopus 로고
    • Housing price bubbles in Hong Kong, Beijing and Shanghai: A comparative study
    • Hui, C. M., Yue, S. (2006) Housing price bubbles in Hong Kong, Beijing and Shanghai: A comparative study. Journal of Real Estate Finance and Economics, 33, 299-327.
    • (2006) Journal of Real Estate Finance and Economics , vol.33 , pp. 299-327
    • Hui, C.M.1    Yue, S.2
  • 14
    • 33748803305 scopus 로고    scopus 로고
    • Small sample properties of GARCH estimates and persistence
    • Hwang, S., Valls Pereira, P. L. (2006) Small sample properties of GARCH estimates and persistence. The European Journal of Finance, 12(6-7), 473-494.
    • (2006) The European Journal of Finance , vol.12 , Issue.6-7 , pp. 473-494
    • Hwang, S.1    Valls Pereira, P.L.2
  • 15
    • 35548931351 scopus 로고
    • Efficient tests for normality, homoscedasticity and serial independence of regression residuals
    • Jarque, C. M., Bera, A. K. (1980) Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6, 255-259.
    • (1980) Economics Letters , vol.6 , pp. 255-259
    • Jarque, C.M.1    Bera, A.K.2
  • 16
    • 0002437730 scopus 로고
    • A test for normality of observations and regression residuals
    • Jarque, C. M., Bera, A. K. (1987) A test for normality of observations and regression residuals. International Statistical Review, 55, 163-172.
    • (1987) International Statistical Review , vol.55 , pp. 163-172
    • Jarque, C.M.1    Bera, A.K.2
  • 17
    • 0038660812 scopus 로고    scopus 로고
    • Using monthly returns to model conditional heteroscedasticity
    • Joseph, N. L. (2003) Using monthly returns to model conditional heteroscedasticity. Applied Economics, 35, 791-801.
    • (2003) Applied Economics , vol.35 , pp. 791-801
    • Joseph, N.L.1
  • 19
    • 33746941698 scopus 로고    scopus 로고
    • The stability of the co-movements between real estate returns in the UK
    • Lee, S. (2006) The stability of the co-movements between real estate returns in the UK. Journal of Property Investment and Finance, 24(5), 434-442.
    • (2006) Journal of Property Investment and Finance , vol.24 , Issue.5 , pp. 434-442
    • Lee, S.1
  • 20
    • 33745813534 scopus 로고    scopus 로고
    • Real estate in the mixed-asset portfolio: The question of consistency
    • Lee S., Stevenson S. (2006) Real estate in the mixed-asset portfolio: The question of consistency. Journal of Property Investment and Finance, 24(2), 123-135.
    • (2006) Journal of Property Investment and Finance , vol.24 , Issue.2 , pp. 123-135
    • Lee, S.1    Stevenson, S.2
  • 21
    • 8744268481 scopus 로고    scopus 로고
    • Macroeconomics and housing: A review of literature
    • Leung, C. (2004) Macroeconomics and housing: A review of literature. Journal of Housing Economics, 13(4), 249-267.
    • (2004) Journal of Housing Economics , vol.13 , Issue.4 , pp. 249-267
    • Leung, C.1
  • 23
    • 32844475255 scopus 로고    scopus 로고
    • Dynamic relationship between stock and property markets
    • Liow, K. H. (2006) Dynamic relationship between stock and property markets. Applied Financial Economics, 16, 371-376.
    • (2006) Applied Financial Economics , vol.16 , pp. 371-376
    • Liow, K.H.1
  • 24
    • 33746949300 scopus 로고    scopus 로고
    • Addressing risk and uncertainty in property valuations: A viewpoint from Germany
    • Lorenz, D., Truck, S., Lutzkendorf, T. (2006) Addressing risk and uncertainty in property valuations: A viewpoint from Germany. Journal of Property Investment and Finance, 24(5), 400-425.
    • (2006) Journal of Property Investment and Finance , vol.24 , Issue.5 , pp. 400-425
    • Lorenz, D.1    Truck, S.2    Lutzkendorf, T.3
  • 25
    • 65249140415 scopus 로고    scopus 로고
    • The structural relation between mortgage and market interest rates
    • Marathe, A., Shawky, H. A. (2003) The structural relation between mortgage and market interest rates. Journal of Business Finance and Accounting, 30(9), 1235-1251.
    • (2003) Journal of Business Finance and Accounting , vol.30 , Issue.9 , pp. 1235-1251
    • Marathe, A.1    Shawky, H.A.2
  • 27
    • 0036246275 scopus 로고    scopus 로고
    • The time-series behavior of house prices: A transatlantic divide?
    • Meen, G. (2002) The time-series behavior of house prices: A transatlantic divide? Journal of Housing Economics, 11, 1-23.
    • (2002) Journal of Housing Economics , vol.11 , pp. 1-23
    • Meen, G.1
  • 29
    • 8644247552 scopus 로고    scopus 로고
    • Housing transactions and macroeconomic fluctuations: A case study of England and Wales
    • Ortalo-Magne, F., Rady, S. (2004) Housing transactions and macroeconomic fluctuations: a case study of England and Wales. Journal of Housing Economics, 13, 287-303.
    • (2004) Journal of Housing Economics , vol.13 , pp. 287-303
    • Ortalo-Magne, F.1    Rady, S.2
  • 30
    • 33645668121 scopus 로고    scopus 로고
    • Housing market dynamics: On the contribution of income shocks and credit constraints
    • Ortalo-Magne, F. Rady, S. (2006) Housing market dynamics: on the contribution of income shocks and credit constraints. Review of Economic Studies, 73(2), 459-485.
    • (2006) Review of Economic Studies , vol.73 , Issue.2 , pp. 459-485
    • Ortalo-Magne, F.1    Rady, S.2
  • 31
    • 33845447872 scopus 로고    scopus 로고
    • Real estate portfolio allocation: The European consumers' perspective
    • Quigley, J. M. (2006) Real estate portfolio allocation: The European consumers' perspective. Journal of Housing Economics, 15(3), 169-188.
    • (2006) Journal of Housing Economics , vol.15 , Issue.3 , pp. 169-188
    • Quigley, J.M.1
  • 32
    • 3242710627 scopus 로고    scopus 로고
    • New empirical evidence on heteroscedasticity in hedonic housing models
    • Stevenson, S. (2004) New empirical evidence on heteroscedasticity in hedonic housing models. Journal of Housing Economics, 13(2), 136-153.
    • (2004) Journal of Housing Economics , vol.13 , Issue.2 , pp. 136-153
    • Stevenson, S.1
  • 33
    • 34547419787 scopus 로고    scopus 로고
    • A comparison of the forecasting ability of ARIMA models
    • Stevenson, S. (2007) A comparison of the forecasting ability of ARIMA models. Journal of Property Investment and Finance, 25(3), 223-240.
    • (2007) Journal of Property Investment and Finance , vol.25 , Issue.3 , pp. 223-240
    • Stevenson, S.1
  • 35
    • 33747021412 scopus 로고    scopus 로고
    • An assessment of property performance forecasts: Consensus versus econometric
    • Tsolacos, S. (2006) An assessment of property performance forecasts: Consensus versus econometric. Journal of Property Finance and Investment, 24(5), 386-394.
    • (2006) Journal of Property Finance and Investment , vol.24 , Issue.5 , pp. 386-394
    • Tsolacos, S.1
  • 36
    • 70350725898 scopus 로고    scopus 로고
    • A comparison of UK residential house price indices
    • Wood, R. (2005) A comparison of UK residential house price indices. BIS Papers, 21(16), 212-227.
    • (2005) BIS Papers , vol.21 , Issue.16 , pp. 212-227
    • Wood, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.