Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/12316
Title: Dynamic asymmetries in house price cycles: A generalized smooth transition model
Authors: Canepa, A
Zanetti Chini, E
Keywords: House price cycles;Dynamic asymmetries;Non-linear models;Forecasting
Issue Date: 2016
Publisher: Elsevier
Citation: Journal of Empirical Finance, 37: pp. 91-103, (2016)
Abstract: In this paper we propose a novel nonlinear model to capture asymmetries in real estate cycles. The approach involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive model which improves the fit in the non-central probability region. The dynamic symmetry in house price cycles is strongly rejected for the housing markets taken into consideration. Further, our results show that the proposed model performs well in a out of sample forecasting exercise.
URI: http://www.sciencedirect.com/science/article/pii/S0927539816300251
http://bura.brunel.ac.uk/handle/2438/12316
DOI: http://dx.doi.org/10.1016/j.jempfin.2016.02.011
ISSN: 0927-5398
Appears in Collections:Dept of Economics and Finance Research Papers

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