Authors: Hany Guirguis and Richard Vogel

Start Page: 293
End Page: 298
Volume: 12
Issue Number: 3
Year: 2006
Publication: Journal of Real Estate Portfolio Management

Abstract: This paper investigates the stochastic behavior of regional real house prices while allowing for asymmetric responses of the current prices to positive and negative changes in the lagged prices. The analysis is carried out using the dynamic conditional correlation multivariate GARCH model. The findings indicate that lagged positive changes have played a far more important role in shaping the current changes in the real house prices. This paper appears to be among the very few empirical studies to document such asymmetry, which suggests that previous studies might encounter a model misspecification.