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.

(2016). Dynamic asymmetries in house price cycles: A generalized smooth transition model [journal article - articolo]. In JOURNAL OF EMPIRICAL FINANCE. Retrieved from http://hdl.handle.net/10446/190885

Dynamic asymmetries in house price cycles: A generalized smooth transition model

Zanetti Chini, Emilio
2016-01-01

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.
articolo
2016
Canepa, Alessandra; ZANETTI CHINI, Emilio
(2016). Dynamic asymmetries in house price cycles: A generalized smooth transition model [journal article - articolo]. In JOURNAL OF EMPIRICAL FINANCE. Retrieved from http://hdl.handle.net/10446/190885
File allegato/i alla scheda:
File Dimensione del file Formato  
ZanettiChini_Dynamic_2016.pdf

accesso aperto

Versione: publisher's version - versione editoriale
Licenza: Creative commons
Dimensione del file 539.06 kB
Formato Adobe PDF
539.06 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/190885
Citazioni
  • Scopus 16
  • ???jsp.display-item.citation.isi??? 14
social impact