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Keywords: GARCH-MIDAS model
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Journal Articles
Nexus between monetary policy uncertainty and real estate market volatility in COVID-19 peak and recovery period
Available to Purchase
International Journal of Housing Markets and Analysis (2025) 18 (2): 455–477.
Published: 21 November 2023
... of this study is to investigate how real estate market volatility responds to monetary policy uncertainty. Design/methodology/approach The GARCH-MIDAS model is applied in this study to investigate the nexus between monetary policy uncertainty and real estate market volatility. This model was fundamentally...
Journal Articles
The role of economic policy uncertainty in forecasting housing prices volatility in developed economies: evidence from a GARCH-MIDAS approach
Available to Purchase
International Journal of Housing Markets and Analysis (2023) 16 (4): 776–791.
Published: 19 May 2022
.... Therefore, this study contributes to the literature by exploring the house prices volatility and economic policy uncertainty nexus in G7 countries. Design/methodology/approach The authors applied the newly introduced econometric technique, the GARCH-MIDAS model, to the sample size of January 1998–May...
