High-frequency volatility forecasting of US housing markets

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dc.contributor.author Segnon, Mawuli
dc.contributor.author Gupta, Rangan
dc.contributor.author Lesame, Keagile
dc.contributor.author Wohar, Mark E.
dc.date.accessioned 2020-05-14T10:07:54Z
dc.date.issued 2021-02
dc.description.abstract 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 investigate its forecasting performance by assuming various specifications for the dynamics underlying the variance process in the model. Using a unique database of daily data on price indices from ten major US cities, and the corresponding daily Composite 10 Housing Price Index, and also a housing futures price index, we find that using the Markov-switching multifractal (MSM) and FIGARCH frameworks for modeling the variance process helps improving the gains in forecast accuracy. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2021-02-17
dc.description.librarian hj2020 en_ZA
dc.description.uri http://link.springer.com/journal/11146 en_ZA
dc.identifier.citation Segnon, M., Gupta, R., Lesame, K. et al. High-Frequency Volatility Forecasting of US Housing Markets. Journal of Real Estate Finance and Economics 62, 283–317 (2021). https://doi.org/10.1007/s11146-020-09745-w. en_ZA
dc.identifier.issn 0895-5638 (print)
dc.identifier.issn 1573-045X (online)
dc.identifier.other 10.1007/s11146-020-09745-w
dc.identifier.uri http://hdl.handle.net/2263/74590
dc.language.iso en en_ZA
dc.publisher Springer en_ZA
dc.rights © Springer Science+Business Media, LLC, part of Springer Nature 2020. The original publication is available at : http://link.springer.comjournal/11146. en_ZA
dc.subject Model confidence set en_ZA
dc.subject Markov-switching multi-fractal (MSM) en_ZA
dc.subject US housing prices en_ZA
dc.subject United States of America (USA) en_ZA
dc.subject GARCH processes en_ZA
dc.title High-frequency volatility forecasting of US housing markets en_ZA
dc.type Postprint Article en_ZA


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