Assessing the Forecasting Performance of Regime-Switching, ARIMA and GARCH Models of House Prices
By Gordon W. Crawford, Michael C. Fratantoni. 2003
220 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7586487cde339188a3bba02f145313cbfe8ad421
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Rossen Valkanov
- Eric Ghysels
- Walter N. Torous
- Alberto Plazzi
- Fulvio Corsi
- David E. Rapach
- Massimiliano Marcellino
- Tim Bollerslev
In Finance
- Rossen Valkanov
- Eric Ghysels
- Walter N. Torous
- Alberto Plazzi
- Fulvio Corsi
- David E. Rapach
- Tim Bollerslev
- Massimiliano Marcellino
Citations in the corpus
- Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, unknown): “We conclude that in contrast to other studies on the failure of non-linear models in forecasting (Dacco and Satchell, 1999, Crawford and Fratantoni, 2003, Bessec and Bouabdallah, 2005), in our case the TARX model gave the best overall results.”
- Forecasting real estate prices (2012, methodology): “…is that t e predictability of returns varies across geographic regions (e.g., Case and Shiller (1989), Gyourko and Voith (1992), Abraham and Hendershott (1996), Gu (2002), Crawford and Fratantoni (2003), Fratantoni and Schuh (2003), Capozza, Hendershott, and Mack (2004), and Hill (2004)).”