1. Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314.

   Full description at Econpapers || Download paper

2. Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach. (2022). Wang, Shixuan ; GUPTA, RANGAN ; Bouri, Elie.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2089-2109.

   Full description at Econpapers || Download paper

3. Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). Plakandaras, Vasilios ; GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

   Full description at Econpapers || Download paper

4. Loose monetary policy and firm uncertainty. (2021). Yang, Kuen-Shiou ; Chang, Chong-Chuo.
   In: SN Business & Economics.
   RePEc:spr:snbeco:v:1:y:2021:i:3:d:10.1007_s43546-021-00040-1.

   Full description at Econpapers || Download paper

5. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach. (2021). Wohar, Mark ; GUPTA, RANGAN ; Cepni, Oguzhan ; Dul, Wiehan.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000544.

   Full description at Econpapers || Download paper

6. Uncertainty and daily predictability of housing returns and volatility of the United States: Evidence from a higher-order nonparametric causality-in-quantiles test. (2021). Kyei, Clement ; GUPTA, RANGAN ; Shivambu, Rinsuna ; Bouri, Elie.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:82:y:2021:i:c:p:200-206.

   Full description at Econpapers || Download paper

7. Dynamic Impact of Unconventional Monetary Policy on International REITs. (2020). GUPTA, RANGAN ; Lesame, Keagile ; Marfatia, Hardik A.
   In: Working Papers.
   RePEc:pre:wpaper:202020.

   Full description at Econpapers || Download paper

8. The Functioning of the Real Estate Market: Dynamics of Price Formation and the Sale of Apartments. (2020). Wolniak, Radoslaw ; Szymczewska, Marta ; Olkiewicz, Marcin.
   In: European Research Studies Journal.
   RePEc:ers:journl:v:xxiii:y:2020:i:2:p:281-307.

   Full description at Econpapers || Download paper

9. Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; Nazlioglu, Saban ; GUPTA, RANGAN ; Gormus, Alper.
   In: Energy Economics.
   RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

   Full description at Econpapers || Download paper

10. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector. (2019). Wong, Wing-Keung ; GUPTA, RANGAN ; Lv, Zhihui.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:10:p:2776-:d:231284.

    Full description at Econpapers || Download paper

11. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector. (2018). Wong, Wing-Keung ; GUPTA, RANGAN ; Lv, Zhihui.
    In: Working Papers.
    RePEc:pre:wpaper:201849.

    Full description at Econpapers || Download paper

1. Bollerslev, T., Patton, A., and Wang, W. (2016). Daily house price index: construction modelling and longer-run predictions, Journal of Applied Econometrics, 31, 10051025.

2. Bredin, D., O’Reilly, G., and Stevenson, S. (2011). Monetary policy transmission and real estate investment trusts. International Journal of Finance & Economics,6 (1): 92– 102.

3. Cakan, E., Doytch, N., and Upadhyaya, K.P. (2015). Does US macroeconomic news make emerging financial markets riskier? Borsa Istanbul Review, 15 (1): 37–43.

4. Caporale, G.M., Spagnolo, F. and Spagnolo, N. (2017). Macro News and Commodity Returns. International Journal of Finance and Economics, 22(1), 68-80.

5. Case, K.E., and Shiller, R.J. (2016). Prices of single-family homes since 1970: New indexes for four cities. New England Review, 44-56.
   Paper not yet in RePEc: Add citation now
   

6. Claus, E., Claus, I., and Krippner, L. (2014). Asset markets and monetary policy shocks at the zero lower bound. Reserve Bank of New Zealand Discussion Paper Series DP2014/03.

7. Gabriel, S., and Lutz, C. (2017). The Impact of Unconventional Monetary Policy on Real Estate Markets. Available at SSRN: https://ssrn.com/abstract=2493873.
   Paper not yet in RePEc: Add citation now
   

8. Ghysels, E., Plazzi, A., Torous, W.N., and Valkanov, R.I. (2013). Forecasting Real Estate Prices. Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 509-580.

9. Glosten, L.R., Jagannathan, R., and Runkle, D.E. (1993). On the relation between the expected value and volatility of the nominal excess return on stocks. The Journal of Finance 48, 1779-1801. Gupta, R., and Marfatia H.A. (Forthcoming). Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach. Journal of Real Estate Literature.

10. Iacoviello, M. (2012). Housing Wealth and Consumption. International Encyclopedia of Housing and Home, Elsevier, 673-678.
    Paper not yet in RePEc: Add citation now
    

11. Kishor, N. K., & Marfatia, H. A. (2017). The dynamic relationship between housing prices and the macroeconomy: Evidence from OECD countries. The Journal of Real Estate Finance and Economics, 54(2), 237-268.

12. Kishor, N.K., and Marfatia, A.H. (2013). The time-varying response of foreign stock markets to US monetary policy surprises: Evidence from the Federal funds futures market. Journal of International Financial Markets, Institutions and Money, 24, 1–24.

13. Kronecke, T.A., Schindler, F., and Steininger, B.I. (2016). Time-varying macroeconomicrisk of real estate returns. 23rd Annual European Real Estate Society Conference, Regensburg, Germany. DOI: 10.15396/eres2016_161.

14. Kuttner, K. N. (2001). Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of monetary economics, 47(3), 523-544.

15. Marfatia, H.A., Gupta, R., and Cakan, E. (2017). The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. North American Journal of Economics and Finance, 42 (2017): 640–653.

16. Nakamura, E., and Steinsson, J. (2018). High frequency identification of monetary nonneutrality: the information effect. Quarterly Journal of Economics. DOI: https://doi.org/10.1093/qje/qjy004.
    Paper not yet in RePEc: Add citation now
    

17. Plakandaras, V., Gupta, R., Katrakilidis, C., and Wohar, M.E. (2017). Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data. University of Pretoria, Department of Economics, Working Paper No. 201765.

18. Rahal, C. (2016). Housing markets and unconventional monetary policy. Journal of Housing Economics, 32(C), 67-80.

19. Scotti, C. (2016). Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises. Journal of Monetary Economics, 82, 1–19.

20. Shiller, R.J. (1991). Arithmetic repeat sales price estimators. Journal of Housing Economics, 1, 110–126.

21. Simo-Kengne, B.D., Gupta, R., Aye, G.C. (2014). Macro Shocks and House Prices in South Africa. The Journal of Real Estate Portfolio Management, 20(3), 179-194.
    Paper not yet in RePEc: Add citation now
    
22. Wang, W. (2014). Daily house price indexes: volatility dynamics and longer-run predictions. Ph.D. Thesis, Duke University, Available for download from: https://dukespace.lib.duke.edu/dspace/handle/10161/8694.
    Paper not yet in RePEc: Add citation now
    

23. Xu, P., and Yang, J. (2011). U.S monetary policy surprises and international securitized real estate markets. The Journal of Real Estate Finance and Economics, 43 (4): 459–490.

24. Yao, R. and Zhang, H. H. (2005). Optimal consumption and portfolio choices with risky housing and borrowing constraints. Review of Financial Studies, 18, 197-239.

1. Estimating Census Tract House Price Indexes: A New Spatial Dynamic Factor Approach. (2025). Rolheiser, Lyndsey ; Francke, Marc ; Minne, Alex.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:70:y:2025:i:3:d:10.1007_s11146-023-09957-w.

   Full description at Econpapers || Download paper

2. Using machine learning to aggregate apartment prices: Comparing the performance of different Luxembourg indices. (2025). Kremer, David ; Kaempff, Bob.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp194.

   Full description at Econpapers || Download paper

3. Can volume be more informative than prices? Evidence from Chinese housing markets. (2023). Yu, Ziliang ; Tong, Meng ; Yang, Jian.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01161-4.

   Full description at Econpapers || Download paper

4. A Sentiment Index of the Housing Market in China: Text Mining of Narratives on Social Media. (2023). Wu, Jing ; Li, Keyang ; Liu, Hongyu ; Zhu, Enwei.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:66:y:2023:i:1:d:10.1007_s11146-022-09900-5.

   Full description at Econpapers || Download paper

5. Real-time monitoring with RCA models. (2023). Trapani, Lorenzo ; Horv, Lajos.
   In: Papers.
   RePEc:arx:papers:2312.11710.

   Full description at Econpapers || Download paper

6. Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach. (2022). GUPTA, RANGAN ; Nel, Jacobus ; Marfatia, Hardik A ; Bouri, Elie.
   In: Working Papers.
   RePEc:pre:wpaper:202240.

   Full description at Econpapers || Download paper

7. Lender-specific mortgage supply shocks and macroeconomic performance in the United States. (2021). Krause, Thomas ; Bremus, Franziska ; Noth, Felix.
   In: IWH Discussion Papers.
   RePEc:zbw:iwhdps:32021.

   Full description at Econpapers || Download paper

8. A spatial model averaging approach to measuring house prices. (2021). Sorensen, Kade ; Greenaway-McGrevy, Ryan.
   In: Journal of Spatial Econometrics.
   RePEc:spr:jospat:v:2:y:2021:i:1:d:10.1007_s43071-021-00013-4.

   Full description at Econpapers || Download paper

9. Higher frequency hedonic property price indices: a state-space approach. (2021). Rambaldi, Alicia ; Hill, Robert ; Scholz, Michael.
   In: Empirical Economics.
   RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01862-y.

   Full description at Econpapers || Download paper

10. Hedonic Models and House Price Index Numbers. (2021). Rambaldi, Alicia ; Hill, Robert.
    In: CEPA Working Papers Series.
    RePEc:qld:uqcepa:169.

    Full description at Econpapers || Download paper

11. High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2021). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina.
    In: Working Papers.
    RePEc:pre:wpaper:202159.

    Full description at Econpapers || Download paper

12. High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; GUPTA, RANGAN ; Segnon, Mawuli ; Lesame, Keagile.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:62:y:2021:i:2:d:10.1007_s11146-020-09745-w.

    Full description at Econpapers || Download paper

13. Uncertainty and daily predictability of housing returns and volatility of the United States: Evidence from a higher-order nonparametric causality-in-quantiles test. (2021). Kyei, Clement ; GUPTA, RANGAN ; Shivambu, Rinsuna ; Bouri, Elie.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:82:y:2021:i:c:p:200-206.

    Full description at Econpapers || Download paper

14. Housing market spillovers through the lens of transaction volume: A new spillover index approach. (2021). Yang, Jian ; Yu, Ziliang ; Tong, Meng.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:64:y:2021:i:c:p:351-378.

    Full description at Econpapers || Download paper

15. Lender-Specific Mortgage Supply Shocks and Macroeconomic Performance in the United States. (2021). Krause, Thomas ; Bremus, Franziska ; Noth, Felix.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1936.

    Full description at Econpapers || Download paper

16. Testing the white noise hypothesis in high-frequency housing returns of the United States. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Sheng, Xin ; Cunado, Juncal.
    In: Economics and Business Letters.
    RePEc:ove:journl:aid:14521.

    Full description at Econpapers || Download paper

17. House price index based on online listing information: The case of China. (2020). Wu, Jing ; Wang, Xiaodan ; Li, Keyang.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:50:y:2020:i:c:s1051137720300516.

    Full description at Econpapers || Download paper

18. Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Cuñado, Juncal ; Sheng, Xin ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:201952.

    Full description at Econpapers || Download paper

19. Is the Housing Market in the United States Really Weakly-Efficient?. (2019). Wohar, Mark ; Tiwari, Aviral ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201934.

    Full description at Econpapers || Download paper

20. Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration. (2018). Wohar, Mark ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:pre:wpaper:201875.

    Full description at Econpapers || Download paper

21. High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach. (2018). Marfatia, Hardik ; GUPTA, RANGAN ; Nyakabawo, Wendy.
    In: Working Papers.
    RePEc:pre:wpaper:201817.

    Full description at Econpapers || Download paper

22. Higher Frequency Hedonic Property Price Indices: A State Space Approach. (2018). Rambaldi, Alicia ; Hill, Robert ; Scholz, Michael.
    In: Graz Economics Papers.
    RePEc:grz:wpaper:2018-04.

    Full description at Econpapers || Download paper

23. Home away from home? Foreign demand and London house prices. (2018). Ramadorai, Tarun ; Badarinza, Cristian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:130:y:2018:i:3:p:532-555.

    Full description at Econpapers || Download paper

24. HIGH FREQUENCY IMPACT OF MONETARY POLICY AND MACROECONOMIC SURPRISES ON US MSAS, AGGREGATE US HOUSING RETURNS AND ASYMMETRIC VOLATILITY. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Marfatia, Hardik A.
    In: Advances in Decision Sciences.
    RePEc:aag:wpaper:v:22:y:2018:i:1:p:204-229.

    Full description at Econpapers || Download paper

25. Bank-specific shocks and house price growth in the U.S.. (2017). Noth, Felix ; Krause, Thomas ; Bremus, Franziska.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:32017.

    Full description at Econpapers || Download paper

26. Bank-Specific Shocks and House Price Growth in the U.S.. (2017). Noth, Felix ; Krause, Thomas ; Bremus, Franziska.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1636.

    Full description at Econpapers || Download paper

Report date: 2025-09-24 16:24:21 || Missing content? Let us know