Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 朴盛庸教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1111/j.1468-0084.2011.00683.x |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/9WOS source URL
其它资讯
摘要This article studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. We demonstrate the potential of the quantile autoregressive distributed lag model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behaviour across the quantiles. Real GDP growth and interest rates also have an asymmetric impact on house prices variations.
着者Galvao AF, Montes-Rojas G, Park SY
期刊名称Oxford Bulletin of Economics and Statistics
出版年份2013
月份4
日期1
卷号75
期次2
出版社WILEY-BLACKWELL
页次307 - 321
国际标準期刊号0305-http://aims.cuhk.edu.hk/converis/portal/Publication/904http://aims.cuhk.edu.hk/converis/portal/Publication/9
语言英式英语
Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS; Statistics & Probability; STATISTICS & PROBABILITY
