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Volatility Clustering, Risk-Return Relationship and Asymmetric Adjustment in Canadian Housing Markets

Lin, Pin-Te; Fuerst, Franz


In this study, we apply a Lagrange multiplier (LM) test for the autoregressive conditional heteroscedasticity (ARCH) effects and an exponential generalized autoregressive conditional heteroscedasticity-in-mean (EGARCH-M) model to assess whether regional house prices in Canada exhibit financial characteristics similar to stock indices. Volatility clustering, positive risk-return relationships, and leverage effects are empirically shown to exist in the majority of provincial housing markets of...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
Source: Journal of Portfolio Management


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