Clustering in U.K. Home Price Volatility

Miles, William

doi:10.1080/10835547.2011.12092031

Cited by 16 publications

(47 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Furthermore, even though recently there has been an increased interest in studies of multivariate analyses of house prices in the US (Miao et al 2011;Antonakakis et al 2015;Damianov and Escobari 2016), and although the dynamics of the UK housing prices have been extensively studied in the literature over the last decade, with studies of regional house prices in the UK including those of Stevenson et al (2007), Tsai et al (2010), Willcocks (2010), Miles (2011b), and Thomas (2011, 2016), multivariate analyses of UK house prices are very limited. To the best of the authors' knowledge, only Willcocks (2010) considered studying the UK house prices on a multivariate basis.…”

Section: And the Dynamicmentioning

confidence: 99%

Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

Begiazi

Katsiampa

2018

J Real Estate Finan Econ

View full text Add to dashboard Cite

This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing market. Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out of four property types, and in the variance equation in six regions and three property types. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our results have significant implications for appropriate economic policy selection and investment management.

show abstract

Section: And the Dynamicmentioning

confidence: 99%

Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

Begiazi

Katsiampa

2018

J Real Estate Finan Econ

View full text Add to dashboard Cite

show abstract

“…Our study is the first attempt to explore this issue empirically and identifying volatility clustering, as previously mentioned, can shed insights on portfolio management and government policy. Moreover, in contrast to all of the previous literature on housing volatility clustering (such as Miles, 2008;Lee, 2009;Miao et al, 2011;Miles, 2011;Lin and Fuerst, 2013), our study builds a property theory to explain why we observe volatility clustering in land markets.…”

Section: Introductionmentioning

confidence: 77%

“…Following previous studies in this field (e.g., Miles, 2008;Lee, 2009;Miles, 2011;Miao et al, 2011;Lin and Fuerst, 2013), we have applied a Lagrange Multiplier (LM) test for the AutoRegressive Conditional Heteroskedasticity (ARCH) effects in property markets, particularly in the field of land markets. Along with the previous literature, the results we obtain here are just econometric outcomes and the reasons why we observe volatility clustering are not sufficiently explained in the previous literature.…”

Section: Discussion Of Resultsmentioning

confidence: 99%

Volatility clustering in land markets

Bao

Huang

et al. 2014

Property Management

View full text Add to dashboard Cite

This study is the first attempt to investigate the volatility clustering in the return of land markets. Using extensive monthly panel data at the provincial level from 1986 to 2013, we identify the existence of time-correlated and timevarying returns in Canadian land markets. Consistent with our proposed theory, volatility clustering in land markets tends to be observed in more populated areas. Our result has significant implications for portfolio management, economic theory and government policy by revealing the systematic pattern of volatility clustering in land markets.

show abstract

“…For example, Li et al (2010) fit an ARMA-EGARCH model for house prices in the UK; Chen et al (2010) use an ARMA-GARCH model for house prices in the US. Miles (2010) found that house price returns in the majority of UK regions exhibit GARCH effects. The use of such models will imply market incompleteness, which adds an extra challenge in the pricing process.…”

Section: Discussionmentioning

confidence: 99%

A Semi-Markov Multiple State Model for Reverse Mortgage Terminations

Hardy

2012

Ann. actuar. sci.

View full text Add to dashboard Cite

Reverse mortgages provide a mechanism for seniors to release the equity that has been built up in their home. At termination, the mortgagors are usually guaranteed to owe no more than the value of their property. The value of the reverse mortgage guarantee is heavily dependent on the maturity or termination date, which is uncertain. In this paper, we model reverse mortgage terminations using a semi-Markov multiple state model which incorporates three different modes of exit: death, entrance into a long-term care facility, and voluntary prepayment. We apply the proposed model specifically to develop the valuation formulas for roll-up mortgages in the UK and Home Equity Conversion Mortgages (HECMs) in the USA. We examine the significance of each mode of termination by valuing the contracts allowing progressively for each mode. On the basis of our model and assumptions, we find that both health related terminations and voluntary (non-health related) terminations significantly impact the contract value. In addition we analyze the premium structure for US reverse mortgage insurance, and demonstrate that premiums appear to be too high for some borrowers, and substantial cross-subsidies may result.

show abstract

Clustering in U.K. Home Price Volatility

Cited by 16 publications

References 16 publications

Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

Volatility clustering in land markets

A Semi-Markov Multiple State Model for Reverse Mortgage Terminations

Contact Info

Product

Resources

About