As symbolized by vacant office buildings, empty shopping malls and abandoned flats in
metropolitan areas, the new coronavirus disease 2019 has severely impacted real estate …

This paper examines the long-term impact and short-term dynamics of macroeconomic variables
on international housing prices. Since adequate housing market data are generally not …

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach
that enables us to quantify the direction, size, and duration of risk spillovers among financial …

… The last source of costs arises from the amount of capital K needed for production, multiplied
by the costs of capital R. All three parameters, Y,W, and R, are subject to policy decisions …

This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across
19 US regional housing markets. Using Case & Shiller housing price indices from 1995 …

… The precipitation predictability index was estimated as the jackknifed Pearson correlation
coefficient (r) estimated for each existing rainfall station during the period 1961 to 2006. The …

… r(Π) = r<n, so that r linear combinations of nonstationary variables are stationary, then r
cointegrating vectors (or equivalently n − r … Because the matrix does not have a full rank, two n × r …

… a sample of T observations of the return vector (r 1, t , r 2, t )′. Let ρ t denote the true but
unknown unconditional correlation between r 1, t and r 2, t at time t. The algorithm tests the null …

… For the RiskMetrics model, we calculate the one-step-ahead forecasts as σ T+1 2 =λσ T 2
+(1−λ)r T 2 . Similar to the GARCH model, σ T 2 and r T 2 are known and allow for reasonable …

… , the valid futures price of a commodity at time t and the remaining time to maturity T, F(t,T)
equals the cash price S(t), multiplied by the continuously compounded riskless interest rate r (…