Scandinavian Working Papers in Economics

Working Papers,
Örebro University, School of Business

No 2020:13: Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails

Tamás Kiss (), Hoang Nguyen () and Pär Österholm ()
Additional contact information
Tamás Kiss: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden
Hoang Nguyen: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden
Pär Österholm: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden

Abstract: In this paper, we analyse the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigate the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data ranging from January 1954 to September 2019, the properties of the models are assessed both within- and out-of-sample. We find strong evidence in favour of modelling both GARCH effects and non-Gaussianity. Accounting for these properties improves within-sample performance as well as point and density forecasts.

Keywords: Non-Gaussianity; GARCH; Density forecasts; Probability integral transform

JEL-codes: C22; C52; E44; E47; G17

16 pages, October 29, 2020

Full text files 

wp-13-2020.pdf PDF-file Full text

Download statistics

Questions (including download problems) about the papers in this series should be directed to ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:13:02.