How to cite this paper
Selmi, N & Hachicha, N. (2015). Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis.Management Science Letters , 5(5), 419-430.
Refrences
Abadir, K.M., Distaso, W. & Giraitis, L. (2007). Nonstationarity-extended local Whittle estimation. Journal of Econometrics, 141, 2, 1353-1384.
Ambrose, B., & Sanders, A.B. (2004). Legal restrictions in personal loanmarkets” with Brent Ambrose. Journal of Real Estate Finance and Economics, 30(2), 2004.
Barkoulas, J.T. & Baum, C.F. (1997). Fractional differencing modeling and forecasting of eurocurrency. Journal of Financial Research, 20(3), 355-372.
Beran, J. & Terrin, N. (1996). Testing for a change of the long-memory parameter. Biometrika, 83 (3), 627-638.
Brodskyand J., & Hurvich, C.M (1999). Multi-step forecasting for long-memory processes. Journal of Forecasting, 18, 1, 59-75.
Calhoun, C.A., & Deng Y. (2002). A dynamic analysis of fixed- and adjustable-rate mortgage terminations. Journal of Real Estate Finance and Economics, 24, 9-33.
Case, E., & Shiller, J. (1987), Prices of single-family homes since 1970: new indexes for four cities. New England Economic Review, 46-56. September-October.
Case, E., Shiller, K., & Robert, J. (1989). The efficiency of the market for single family homes. American Economic Review, 79, 125-137.
Crato, N. & Ray, B.K. (1999). Model selection and forecasting for long-range dependent processes. Journal of Forecasting, 15, 107-125.
Cutts, A.C., & Merrill, W.A. (2008). Interventions in mortgage default: policies and practices to prevent home loss and lower costs. Freddie Mac Working Paper, 08-01.
Deng, Y., Quigley, J.M., & van Order R. (2000). Mortgage terminations, heterogeneity and the exercise of mortgage options. Econometrica, 68, 275-307.
Ferrara, L. & Guégan, D. (1999). Estimation and applications of Gegen-bauer processes. Working paper.
Geweke, J. & Porter-Hudak, S. (1983). The estimation and application of long-memory time series models. Journal of Time Series Analysis, 4, 221-238.
Granger, C. W., & Joyeux, R. (1980). An introduction to long?memory time series models and fractional differencing. Journal of time series analysis, 1(1), 15-29.
Glaeser, E L., Gyrouko, J., & Saks, R. E. (2005). Why have housing prices gone up? American Economic Review, 2, 329-333.
Henry, M. & Robinson, P.M. (1996), Bandwidth choice in Gaussian semiparametric estimation of long range dependence, in P. M. Robinson and M. Rosenblatt (eds.). Athens Conference on Applied Probability and Time Series Analysis, Volume II: Time Series Analysis, In Memory of E. J. Hannan, Springer, New York, 220-232.
Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: bubbles, fundamentals, and misperceptions. Journal of Economic Perspectives, 19(4), 67-92.
Hosking, J. R. (1981). Fractional differencing. Biometrika, 68(1), 165-176.
Hosoya, Y. (1997). A limit theory of long-range dependence and statistical inference in related model. Annals of Statistics, 25, 105-137.
Hurvich, C.M & Ray, B.K. (1995), Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Journal of Time Series Analysis, 16, 17-42.
Hurvich, C.M., Deo R.S. & Brodsky, J. (1998). The mean squared error of Geweke and Porter-Hudak estimator of the memory parameter of a long memory time series. Journal of Time Series Analysis, 19, 19-46.
Künsch, H.R. (1987). Statistical aspects of self-similar processes. In Y. Prokhorov and V.V. Sazanov (eds.), Proceedings of the First World Congress of the Bernoulli Society, VNU Science Press, Utrecht, 67-74.
Malpezzi, S. (1999a.), Housing prices, externalities, and regulation in U.S. metropolitan areas. Journal of Housing Research, 7 (2), 209-241.
Malpezzi, S. (1999b). A simple error correction model of house prices. Journal of Housing Economics, 8 (1), 27-62.
Malpezzi, S., & Maclennan, D. (2001). The long-run price elasticity of supply of new residential construction in the United States and the United Kingdom. Journal of Housing Economics, 10(3) 278-306.
Mandelbrot, B.B., & Taqqu, M. (1979). Robust R,/S analysis of long-run serial correlation. Proceedings of tile 42nd Session of the International Statistical Institute, International Statistical Institute.
Noakes, D.J., Hipel, K.W., McLeod, A.I., Jimenez C., & Yakowitz, S. (1988), Forecasting annual geophysical time series, International Journal of Forecasting, 4, 103-115.
Pafenberg, F. (2005). Single-family mortgages originated and outstanding:1990-2004. OFHEO Staff Research Paper.
Pavlov, A., & Robbing S. (2004), the bank: short-term players and asset prices. Journal of Real Estate Finance and Economics, 28 (2/3), 147-160.
Pavlov, A., & Wachter, S. (2006a). Aggressive Lending and Real Estate Markets. Working paper, The Wharton School, University of Pennsylvania.
Pavlov, A., & Wachter, S. (2006b). Underpriced Lending and Real Estate Markets. Working paper, The Wharton School, University of Pennsylvania.
Pence, K.M. (2006). Foreclosing on opportunity: state laws and mortgage credit. Review of Economics and Statistics, 88 (1), 177-182.
Priestley, M.B. (1981).Spectral Analysis and Time Series. Academic Press, New York.
Ray, B.K. (1993). Modelling long-memory processes for optimal long-range prediction, Journal of Time Series Analysis, 14, 511-526.
Robinson, P.M. (1995). Log-periodogram regression of time series with long range dependence. Annals of Statistics, 23, 1048-1072.
Shimotsu, K. (2002). Exact local Whittle estimation of fractional integration with unknown mean and time trend. Department of Economics Discussion Paper No. 543, University of Essex.
Shimotsu, K., & Phillips, P. C. (2002). Pooled log periodogram regression. Journal of Time Series Analysis, 23(1), 57-93.
Shimotsu, K., & Phillips, P.C.B. (2005), Exact local Whittle estimation of fractional integration. The Annals of Statistics, 33(4), 1890-1933.
Smith, J. & Yadav, S. (1994). Forecasting costs incurred from unit differencing fractionally integrated processes. International Journal of Forecasting, 10, 507-514.
Stanton, R. (1995). Rational prepayment and the valuation of mortgage backed securities. Review of Financial Studies, 8, 677-708.
Velasco, C. (1999a), Gaussian semiparametric estimation of non-stationary time series. Journal of Time Series Analysis, 20, 87-127.
Velasco, C. (1999), Non-stationary log periodogram regression. Journal of Econometrics, 91, 325-371.
Velasco, C. & Robinson, P.M (2000). Whittle pseudo-maximum likelihood estmation for nonstationary time series. Journal of the American Statistical Association, 95(452), 1229-1243.
Whittle, P. (1951). Hypothesis testing in time series analysis. Hafnerr, New York.
Ambrose, B., & Sanders, A.B. (2004). Legal restrictions in personal loanmarkets” with Brent Ambrose. Journal of Real Estate Finance and Economics, 30(2), 2004.
Barkoulas, J.T. & Baum, C.F. (1997). Fractional differencing modeling and forecasting of eurocurrency. Journal of Financial Research, 20(3), 355-372.
Beran, J. & Terrin, N. (1996). Testing for a change of the long-memory parameter. Biometrika, 83 (3), 627-638.
Brodskyand J., & Hurvich, C.M (1999). Multi-step forecasting for long-memory processes. Journal of Forecasting, 18, 1, 59-75.
Calhoun, C.A., & Deng Y. (2002). A dynamic analysis of fixed- and adjustable-rate mortgage terminations. Journal of Real Estate Finance and Economics, 24, 9-33.
Case, E., & Shiller, J. (1987), Prices of single-family homes since 1970: new indexes for four cities. New England Economic Review, 46-56. September-October.
Case, E., Shiller, K., & Robert, J. (1989). The efficiency of the market for single family homes. American Economic Review, 79, 125-137.
Crato, N. & Ray, B.K. (1999). Model selection and forecasting for long-range dependent processes. Journal of Forecasting, 15, 107-125.
Cutts, A.C., & Merrill, W.A. (2008). Interventions in mortgage default: policies and practices to prevent home loss and lower costs. Freddie Mac Working Paper, 08-01.
Deng, Y., Quigley, J.M., & van Order R. (2000). Mortgage terminations, heterogeneity and the exercise of mortgage options. Econometrica, 68, 275-307.
Ferrara, L. & Guégan, D. (1999). Estimation and applications of Gegen-bauer processes. Working paper.
Geweke, J. & Porter-Hudak, S. (1983). The estimation and application of long-memory time series models. Journal of Time Series Analysis, 4, 221-238.
Granger, C. W., & Joyeux, R. (1980). An introduction to long?memory time series models and fractional differencing. Journal of time series analysis, 1(1), 15-29.
Glaeser, E L., Gyrouko, J., & Saks, R. E. (2005). Why have housing prices gone up? American Economic Review, 2, 329-333.
Henry, M. & Robinson, P.M. (1996), Bandwidth choice in Gaussian semiparametric estimation of long range dependence, in P. M. Robinson and M. Rosenblatt (eds.). Athens Conference on Applied Probability and Time Series Analysis, Volume II: Time Series Analysis, In Memory of E. J. Hannan, Springer, New York, 220-232.
Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: bubbles, fundamentals, and misperceptions. Journal of Economic Perspectives, 19(4), 67-92.
Hosking, J. R. (1981). Fractional differencing. Biometrika, 68(1), 165-176.
Hosoya, Y. (1997). A limit theory of long-range dependence and statistical inference in related model. Annals of Statistics, 25, 105-137.
Hurvich, C.M & Ray, B.K. (1995), Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Journal of Time Series Analysis, 16, 17-42.
Hurvich, C.M., Deo R.S. & Brodsky, J. (1998). The mean squared error of Geweke and Porter-Hudak estimator of the memory parameter of a long memory time series. Journal of Time Series Analysis, 19, 19-46.
Künsch, H.R. (1987). Statistical aspects of self-similar processes. In Y. Prokhorov and V.V. Sazanov (eds.), Proceedings of the First World Congress of the Bernoulli Society, VNU Science Press, Utrecht, 67-74.
Malpezzi, S. (1999a.), Housing prices, externalities, and regulation in U.S. metropolitan areas. Journal of Housing Research, 7 (2), 209-241.
Malpezzi, S. (1999b). A simple error correction model of house prices. Journal of Housing Economics, 8 (1), 27-62.
Malpezzi, S., & Maclennan, D. (2001). The long-run price elasticity of supply of new residential construction in the United States and the United Kingdom. Journal of Housing Economics, 10(3) 278-306.
Mandelbrot, B.B., & Taqqu, M. (1979). Robust R,/S analysis of long-run serial correlation. Proceedings of tile 42nd Session of the International Statistical Institute, International Statistical Institute.
Noakes, D.J., Hipel, K.W., McLeod, A.I., Jimenez C., & Yakowitz, S. (1988), Forecasting annual geophysical time series, International Journal of Forecasting, 4, 103-115.
Pafenberg, F. (2005). Single-family mortgages originated and outstanding:1990-2004. OFHEO Staff Research Paper.
Pavlov, A., & Robbing S. (2004), the bank: short-term players and asset prices. Journal of Real Estate Finance and Economics, 28 (2/3), 147-160.
Pavlov, A., & Wachter, S. (2006a). Aggressive Lending and Real Estate Markets. Working paper, The Wharton School, University of Pennsylvania.
Pavlov, A., & Wachter, S. (2006b). Underpriced Lending and Real Estate Markets. Working paper, The Wharton School, University of Pennsylvania.
Pence, K.M. (2006). Foreclosing on opportunity: state laws and mortgage credit. Review of Economics and Statistics, 88 (1), 177-182.
Priestley, M.B. (1981).Spectral Analysis and Time Series. Academic Press, New York.
Ray, B.K. (1993). Modelling long-memory processes for optimal long-range prediction, Journal of Time Series Analysis, 14, 511-526.
Robinson, P.M. (1995). Log-periodogram regression of time series with long range dependence. Annals of Statistics, 23, 1048-1072.
Shimotsu, K. (2002). Exact local Whittle estimation of fractional integration with unknown mean and time trend. Department of Economics Discussion Paper No. 543, University of Essex.
Shimotsu, K., & Phillips, P. C. (2002). Pooled log periodogram regression. Journal of Time Series Analysis, 23(1), 57-93.
Shimotsu, K., & Phillips, P.C.B. (2005), Exact local Whittle estimation of fractional integration. The Annals of Statistics, 33(4), 1890-1933.
Smith, J. & Yadav, S. (1994). Forecasting costs incurred from unit differencing fractionally integrated processes. International Journal of Forecasting, 10, 507-514.
Stanton, R. (1995). Rational prepayment and the valuation of mortgage backed securities. Review of Financial Studies, 8, 677-708.
Velasco, C. (1999a), Gaussian semiparametric estimation of non-stationary time series. Journal of Time Series Analysis, 20, 87-127.
Velasco, C. (1999), Non-stationary log periodogram regression. Journal of Econometrics, 91, 325-371.
Velasco, C. & Robinson, P.M (2000). Whittle pseudo-maximum likelihood estmation for nonstationary time series. Journal of the American Statistical Association, 95(452), 1229-1243.
Whittle, P. (1951). Hypothesis testing in time series analysis. Hafnerr, New York.