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: | Tamás Kiss, Hoang Nguyen, Pär Österholm |
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Formato: | article |
Lenguaje: | EN |
Publicado: |
MDPI AG
2021
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Materias: | |
Acceso en línea: | https://doaj.org/article/22de06518bbc4d3490a8e628e66142fe |
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