Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/21824| Title: | Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market |
| Authors: | Canepa, A Chini, EZ Alqaralleh, H |
| Keywords: | House price cycles;Dynamic asymmetries;Nonlinear models;Forecasting |
| Issue Date: | 5-Nov-2020 |
| Publisher: | Springer |
| Citation: | Canepa, A., Chini, E.Z. and Alqaralleh, H. (2020) 'Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market', Journal of Real Estate Finance and Economics, in press (29 pp.). doi: 10.1007/s11146-020-09802-4. |
| Abstract: | © The Author(s) 2020. In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, our results show that the proposed model performs well when compared to other linear and nonlinear specifications in a out-of-sample forecasting exercise. |
| URI: | https://bura.brunel.ac.uk/handle/2438/21824 |
| DOI: | https://dx.doi.org/10.1007/s11146-020-09802-4 |
| ISSN: | 0895-5638 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 728.59 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License
