Advanced search
Publication Cover
Applied Economics Volume 42, 2010 - Issue 9
Submit an article Journal homepage
668
Views
27
CrossRef citations to date
0
Altmetric
Original Articles

Modelling house price volatility states in the UK by switching ARCH models

I-Chun Tsai Department of Finance, Southern Taiwan University of Technology, Taiwan, ROC
,
Ming-Chi Chen Department of Finance, National Sun Yat-sen University, Taiwan, ROCCorrespondence[email protected]
&
Tai Ma Department of Finance, National Sun Yat-sen University, Taiwan, ROC
Pages 1145-1153 | Published online: 04 Apr 2008

Citations (27)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (8)

Josephine Dufitinema. (2021) Stochastic volatility forecasting of the Finnish housing market. Applied Economics 53:1, pages 98-114.
Read now
Sören Gröbel. (2019) Analysis of spatial variance clustering in the hedonic modeling of housing prices. Journal of Property Research 36:1, pages 1-26.
Read now
Chyi Lin Lee & Richard Reed. (2014) Volatility Decomposition of Australian Housing Prices. Journal of Housing Research 23:1, pages 21-43.
Read now
M K Ocran & I Anyikwa. (2013) Trends and Volatility in Residential Property Prices in South Africa. Studies in Economics and Econometrics 37:1, pages 55-74.
Read now
José-María Montero-Lorenzo & Beatriz Larraz-Iribas. (2012) Space-time approach to commercial property prices valuation. Applied Economics 44:28, pages 3705-3715.
Read now
Eddie Chi-man Hui & Xian Zheng. (2012) The dynamic correlation and volatility of real estate price and rental: an application of MSV model. Applied Economics 44:23, pages 2985-2995.
Read now
Ming-Chi Chen, Chin-Oh Chang, Chih-Yuan Yang & Bor-Ming Hsieh. (2012) Investment Demand and Housing Prices in an Emerging Economy. Journal of Real Estate Research 34:3, pages 345-374.
Read now
William Miles. (2010) Volatility Transmission in U.K. Housing: A Multivariate GARCH Approach. Journal of Real Estate Portfolio Management 16:3, pages 241-248.
Read now

Articles from other publishers (19)

Xiaomeng Liu, Ziliang Yu & Yang Li. (2024) HOUSE PRICE VOLATILITY IN CHINA: A PERVASIVE PATTERN WITH GEOGRAPHIC DISPARITY. International Journal of Strategic Property Management 28:1, pages 45-63.
Crossref
MYEONG HYEON KIM, DOO WON BANG & HYUCK SHIN KWON. (2023) AN ANALYSIS OF THE INITIAL PRESALE RATE IN HOUSING PROJECTS USING A REGIME-SWITCHING MODEL. The Singapore Economic Review 68:06, pages 2105-2126.
Crossref
Sachin Kashyap. (2022) Review on volatility and return analysis including emerging developments: evidence from stock market empirics. Journal of Modelling in Management 18:3, pages 756-816.
Crossref
Young Soo Lee. (2022) The Effect of Interest Rates and Mortgage Lending on House Prices. Journal of Real Estate Analysis 8:2, pages 1-17.
Crossref
Youngsoo Lee. (2020) Comparative analysis of housing and stock prices using a regime switching model. Journal of Housing and Urban Finance 5:1, pages 5-22.
Crossref
Kuang-Liang Chang. (2020) Are cyclical patterns of international housing markets interdependent?. Economic Modelling 88, pages 14-24.
Crossref
Josephine Dufitinema. (2020) Volatility clustering, risk-return relationship and asymmetric adjustment in the Finnish housing market. International Journal of Housing Markets and Analysis 13:4, pages 661-688.
Crossref
Nicholas Apergis & James E. Payne. (2019) Modeling the time varying volatility of housing returns: Further evidence from the U.S. metropolitan condominium markets. Review of Financial Economics 38:1, pages 24-33.
Crossref
Josephine Dufitinema & Seppo Pynnönen. (2019) Long-range dependence in the returns and volatility of the Finnish housing market. Journal of European Real Estate Research 13:1, pages 29-54.
Crossref
Paraskevi Katsiampa & Kyriaki Begiazi. (2019) An empirical analysis of the Scottish housing market by property type. Scottish Journal of Political Economy 66:4, pages 559-583.
Crossref
Kyriaki Begiazi & Paraskevi Katsiampa. (2018) Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis. The Journal of Real Estate Finance and Economics 58:2, pages 290-309.
Crossref
Yuan Zhang, Yiguo Sun & Thanasis Stengos. (2018) Spatial Dependence in the Residential Canadian Housing Market. The Journal of Real Estate Finance and Economics 58:2, pages 223-263.
Crossref
Nazar Dahmardeh, Reza Khaki & Marziyeh Esfandiari. (2018) The role of news in the fluctuations of housing price. Investment Management and Financial Innovations 15:3, pages 294-303.
Crossref
Chyi Lin Lee. (2017) An examination of the risk-return relation in the Australian housing market. International Journal of Housing Markets and Analysis 10:3, pages 431-449.
Crossref
Ioannis Chatziantoniou, George Filis & Christos Floros. (2017) Asset prices regime-switching and the role of inflation targeting monetary policy. Global Finance Journal 32, pages 97-112.
Crossref
Yener Coskun & Hasan Murat Ertugrul. (2016) House price return volatility patterns in Turkey, Istanbul, Ankara and Izmir. Journal of European Real Estate Research 9:1, pages 26-51.
Crossref
Arvydas Jadevicius & Simon Huston. (2015) ARIMA modelling of Lithuanian house price index. International Journal of Housing Markets and Analysis 8:1, pages 135-147.
Crossref
Rosen Azad Chowdhury & Duncan Maclennan. (2014) Regional house price cycles in the UK, 1978-2012: a Markov switching VAR. Journal of European Real Estate Research 7:3, pages 345-366.
Crossref
Kuang-Liang Chang. (2010) House price dynamics, conditional higher-order moments, and density forecasts. Economic Modelling 27:5, pages 1029-1039.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.