We analyze the ability of an index of mortgage default risks (MDRI) for 43 states and 20 metropolitan statistical areas (MSA) of the US derived from Google search queries, in predicting (in- and out-of-sample) housing ...
Lesame, Keagile; Ngene, Geoffrey M.; Gupta, Rangan; Bouri, Elie(Elsevier, 2024-01)
This paper investigates whether investors in international Real Estate Investment Trusts (REITs) markets engage in herding behaviour due to the economic uncertainty induced by the COVID-19 pandemic in 2020. Using a ...
We propose a logistic smooth transition autoregressive fractionally integrated [STARFI (p, d)] process for modeling and forecasting US housing price volatility. We discuss the statistical properties of the model and ...
In this paper, we investigate the time-varying interconnectedness of international Real
Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries
since the Global Financial Crisis. ...
