Testing for exuberance in house prices using data sampled at different frequencies

DOI10.1515/SNDE-2021-0030MaRDI QIDQ6039109zbMATH OpenOpenAlexFDO

Authors Jesus Otero, Theodore Panagiotidis, Georgios Papapanagiotou

Publication date 3 May 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2021-0030

zbMATH Keywords

bubblesexuberant/explosive behaviourhouse pricesMonte Carlo

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Asset Prices in an Exchange Economy
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Do 18th century `bubbles' survive the scrutiny of 21st century time series econometrics?
• Real time monitoring of asset markets: bubbles and crises
• Temporal aggregation of random walk processes and implications for economic analysis
• Testing for cointegration: Power versus frequency of observation--another view
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for unit roots in flow data sampled at different frequencies
• Testing the random walk hypothesis: power versus frequency of observation

Cited in

(2)

• Sample Selection and Biases in Local House Value Indices
• Bubbles and crashes: a tale of quantiles

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