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...

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