High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests
Author:
Publisher
Springer Science and Business Media LLC
Subject
Urban Studies,Economics and Econometrics,Finance,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11146-022-09919-8.pdf
Reference47 articles.
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2. Apergis, N., Christou, C., & Kynigakis, I. (2019). Contagion across US and European financial markets: Evidence from the CDS markets. Journal of International Money and Finance, 96, 1–12
3. Bollerslev, T., Patton, A. J., & Wang, W. (2016). Daily house price index: construction modelling and longer-run predictions. Journal of Applied Econometrics, 31, 1005–1025
4. Bond, S. A., Dungey, M., & Fry, R. (2006). A web of shocks: crises across Asian real estate markets. The Journal of Real Estate Finance and Economics, 32(3), 253–274
5. Bouri, E., Gupta, R., & Wang, S. (2020). Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach. International Journal of Finance and Economics. DOI: https://doi.org/10.1002/ijfe.2261
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1. Correlation meets causality: A holistic measure of financial contagion;Finance Research Letters;2024-07
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