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EnglishIn 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
| Citazione: | (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 | |
| Titolo: | Dynamic asymmetries in house price cycles: A generalized smooth transition model | |
| Tipologia specifica: | articolo | |
| Tutti gli autori: | Canepa, Alessandra; Zanetti Chini, Emilio | |
| Data di pubblicazione: | 2016 | |
| Abstract (eng): | 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. | |
| Rivista: | ||
| Nelle collezioni: | 1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays |
File allegato/i alla scheda:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| ZanettiChini_Dynamic_2016.pdf | publisher's version - versione editoriale |  | Open AccessVisualizza/Apri |
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