منابع مشابه
Long Memory in the Housing Price Indices in China
This study examines the time series behaviour of housing prices series for 69 cities in China. The general housing price index, the index of newly constructed buildings and the price index of second hand buildings from 2005:7 to 2010:12 are examined. The univariate fractionally integrated models are employed in order to determine whether shocks to the variables have transitory or permanent effe...
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We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both estimators give similar values for the memory parameter what indicates long-memory.
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Locally weighted quantile regressions allow the coefficients of hedonic house price functions to vary over space. Using data on all house sales in Cook County, Illinois, for 20002011, I show how the full distribution of appreciation rates changed over time in small geographic areas. The estimates reveal significant spatial variation in appreciation rates both geographically and across the distr...
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The hedging of weather risks has become extremely relevant in recent years, promoting the diffusion of weather derivative contracts. The pricing of such contracts require the development of appropriate models for the prediction of the underlying weather variables. Within this framework, we present a modification of the double long memory ARFIMA-FIGARCH model introducing time-varying memory coef...
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9.2 As a result of the greater insights into the properties and behaviour of price indices that have been achieved in recent years, it is now recognized that some traditional methods may not necessarily be optimal from a conceptual and theoretical viewpoint. Concerns have also been voiced in a number of countries about possible biases that may be affecting CPIs. These issues and concerns need t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2006849