Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails
In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from Jan...
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
MDPI AG
2021
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/22de06518bbc4d3490a8e628e66142fe |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|