Modelling house price volatility states in the UK by switching ARCH models

Applied Economics

Volumn 42, Issue 9, 2010, Pages 1145-1153

  Tsai, I Chun ^a   Chen, Ming Chi ^b   Ma, Tai ^b  

^a SOUTHERN TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

^b NATIONAL SUN YAT SEN UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

HOUSING MARKET; INVESTMENT; MODELING; PRICE DETERMINATION; PRICE DYNAMICS;

UNITED KINGDOM;

EID: 77950902519     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840701721133     Document Type: Article

References (17)

1. Bloomfield, R. and Hales, J. (2002) Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs, Journal of Financial Economcis, 65, 397-414.
2. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-28.
3. Dolde, W. and Tirtitoglu, D. (2002) Housing price volatility changes and their effects, Real Estate Economics, 30, 41-66.
4. Drake, L. (1993) Modelling UK house prices using cointegration: an application of the Johansen technique, Applied Economics, 25, 1225-8.
5. Engle, R. F. (1982) Autoregressive conditional hetero-scedasticity with estimates of the variance of United Kingdom inflation, Econometric, 50, 987-1007.
6. Giussani, B. and Hadjimatheou, G. (1991) Modelling regional house price in United Kingdom, The Journal of the Regional Science Association International, 70, 201-19.
7. Hall, S., Psaradakis, Z. and Sola, M. (1997) Switching error-correction models of house prices in the United Kingdom, Economic Modelling, 14, 517-27.
8. Hamilton, J. D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-84.
9. Hamilton, J. D. (1994) Time Series Analysis, Princeton University Press, Princeton, New Jersey.
10. Hamilton, J. D. and Susmel, R. (1994) Autoregressive conditional heteroskedasticity and change in regime, Journal of Econometrics, 64, 307-33.
11. Hendry, D. F. (1984) Econometric modelling of house prices in the UK, in Econometrics and Quantitative Economics (Eds) D. F. Hendry and K. F. Wallis, Basil Blackwell, Oxford.
12. Lamoureux, C. G. and Lastrapes, W. D. (1990) Persistence in variance, structural change and the GARCH model, Journal of Business and Economic Statistics, 8, 225-34.
13. Mackinnon, J. G. (1996) Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601-18.
14. Malpezzi, S. (1999) A simple error correction model of house prices, Journal of Housing Economics, 8, 27-62.
15. Meen, G. P. (1990) The removal of mortgage market constraints and the implications for econometric modelling of UK house prices, Oxford Bulletin Economics and Statistics, 52, 1-23.
16. Phillips, P. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrica, 75, 335-46.
17. Said, S. and Dickey, D. (1984) Testing for unit roots in autoregressive-moving average models with unknown order, Biometrica, 71, 599-607.