The Spatial Heterogeneity of the Time-varying Impact of Shocks on Volatility: Some Evidence from MSA Housing Markets

Q2 Economics, Econometrics and Finance

Journal of Real Estate Portfolio Management Pub Date : 2019-01-01 DOI:10.1080/10835547.2019.12090022

G. Ngene, Allen K. Lynch, Daniel P. Sohn

引用次数: 2

Abstract

Executive Summary. In this study, we investigate the time-varying response of conditional variance to endogenous and exogenous shocks. Using MSA-level monthly data spanning 31 years and two asymmet...

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冲击对波动的时变影响的空间异质性:来自MSA住房市场的证据

执行概要。在本研究中，我们研究了条件方差对内源和外源冲击的时变响应。使用msa水平的月度数据跨越31年和两个不对称…

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Real Estate Portfolio Management Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

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期刊介绍： The Journal of Real Estate Portfolio Management (JREPM) is a publication of the American Real Estate Society (ARES). Its purpose is to disseminate applied research on real estate investment and portfolio management.