We construct daily realized volatility, skewness, and kurtosis using 5-min data of eight
Chinese commodity futures and the Chinese stock market index from March 26, 2018 to …

In a recent paper Juodis and Reese (2021)(JR) show that the application of the CD test
proposed by Pesaran (2004) to residuals from panels with latent factors results in over …

Over the last few decades, exuberance (bubble) and spillovers (ripple effects) have both
been observed in the overheated housing market. However, surprisingly few attempts have …

Regional housing prices may be dynamically linked and converge to a long-run equilibrium.
The level of connectedness can be used to describe systemic risk in the housing market …

This paper investigates the influence of tourism and hotel accommodation on housing prices
in 27 EU countries over the period from 2005 to 2018. The results of dynamic panel data …

This paper investigates the dynamic connectedness of random shocks to housing prices
between the 50 US states and the District of Columbia. The paper implements a standard …

In this study, we examine the network topology of UK regional property returns over the
period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold …

Home-purchase limit is a unique administrative housing policy of China and has non-
negligible influences on the housing price. The objective of this study is to analyze the …

The tourism effects on housing prices within cities and regions have been analyzed in the
literature, but there is a lack of evidence on the spatial effects of these processes. In areas hit …

Macroprudential policies to counter the housing bubble has been widely implemented to
maintain financial stability. However, few attempts have been made to address the (un) …