ANALYZING COMOVEMENTS IN HOUSING PRICES USING VINE COPULAS.
Prior to the housing crisis, the Gaussian copula provided the basis for estimates of the degree of diversification of structured mortgage-based securities. The Gaussian copula's popularity stemmed not only from its link to the familiar normal distribution, but also from the fact that, unlike other c...
| Publicado en: | Economic Inquiry Vol. 53; no. 2; pp. 1156 - 1170 |
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| Formato: | Artículo |
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Wiley-Blackwell
Apr2015
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=100824355&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 100824355 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: Y pubinfo: dt: Apr2015 vid: 53 iid: 2 pid: 480 pub: Wiley-Blackwell artinfo: ui: 100824355 10.1111/ecin.12156 ppf: 1156 ppct: 14 formats: fmt: – @attributes: type: T – @attributes: type: P size: 782KB tig: atl: ANALYZING COMOVEMENTS IN HOUSING PRICES USING VINE COPULAS. aug: au: Zimmer, David M. affil: Department of Economics, Western Kentucky University, Grise Hall 426, Bowling Green KY 42101. su: Mathematical models Home prices Copula functions Gaussian function Pricing sug: subj: Mathematical models Home prices Copula functions Gaussian function Pricing ab: Prior to the housing crisis, the Gaussian copula provided the basis for estimates of the degree of diversification of structured mortgage-based securities. The Gaussian copula's popularity stemmed not only from its link to the familiar normal distribution, but also from the fact that, unlike other copula-based models, it readily extends to higher dimensions. But the Gaussian copula has asymptotic independence, such that events, regardless of the strength of their correlation, become independent if one pushes far enough into the tails. Instead, this article forms multivariate models of housing price comovements using vine copulas. These more flexible models not only fit the data better, but they also uncover far stronger correlations between housing price movements, especially during extreme market swings. ( JEL G21, C32, C51) pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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