Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

DOI10.1111/JTSA.12247zbMATH Open1378.62148OpenAlexW2741612664MaRDI QIDQ4596433FDOQ4596433

Authors: Martin Wagner, Dominik Wied 

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12247

Recommendations

• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
• Temporal correlation of defaults in subprime securitization
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages
• On the structure of cointegration
• A stochastic approach to model housing markets: the US housing market case
• Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints*

zbMATH Keywords

cointegrationstructural changemonitoringUS housing market

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10) Economic time series analysis (91B84)

Cited In (1)

• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market

This page was built for publication: Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4596433)