SEARCH

SEARCH BY CITATION

References

  • Abraham, J.M. and P.H. Hendershott. 1996. Bubbles in Metropolitan Housing Markets. Journal of Housing Research 7: 191207.
  • Acemoglu, D. and A. Scott. 1997. Asymmetric Business Cycles: Theory and Time Series Evidence. Journal of Monetary Economics 40: 501533.
  • Baillie, R.T. and R.P. DeGennaro. 1990. Stock Returns and Volatility. Journal of Financial and Quantitative Analysis 25: 203214.
  • Bernanke, B.S. 1983. Nonmonetary Effects of the Financial Crisis in Propagation of the Great Depression. American Economic Review 73: 257276.
  • Bernanke, B.S. and A.S. Blinder. 1988. Credit, Money and Aggregate Demand. American Economic Review 78: 435439.
  • Bernanke, B.S. and M. Gertler. 1989. Agency Costs, Net Worth, and Business Fluctuations. American Economic Review 79: 1431.
  • Bernanke, B.S. and M. Gertler. 1995. Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives 9: 2748.
  • Bernanke, B.S., C. Lown and B. Friedman. 1991. The Credit Crunch. Brooking Papers on Economic Activity 2: 205247.
  • Black, F. 1976. Studies in Stock Price Volatility Changes. Proceedings of American Statistical Association, Business and Economic Statistics Section, 177181.
  • Bollerslev, T., R. Chou and K. Kroner. 1992. ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence. Journal of Econometrics 52: 559.
  • Campbell, J., M. Lettau, B. Malkiel and Y. Xu. 2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. The Journal of Finance 56: 144.
  • Campbell, J., A. Lo and C. MacKinlay. 1997. The Econometrics of Financial Markets. Princeton , NJ : Princeton University Press.
  • Campbell, J.Y. 1987. Stock Returns and the Term Structure. Journal of Financial Economics 18: 373399.
  • Campbell, J.Y.. 1991. A Variance Decomposition for Stock Returns. Economic Journal 101: 157179.
  • Campbell, J.Y. and L. Hentschel. 1992. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns. Journal of Financial Economics 31: 281318.
  • Campbell, J.Y. and R.J. Shiller. 1988a. Stock Prices, Earnings, and Expected Dividends. The Journal of Finance 43: 661676.
  • Campbell, J.Y. and R.J. Shiller. 1988b. The Dividend-Price Ratio and Expectation of Future Dividends and Discount Factors. Review of Financial Studies 1: 195228.
  • Carlino, G.A. and R.H. DeFina. 2003. How Strong is Co-Movement in Employment over the Business Cycle? Evidence from State/Industry Data. Federal Reserve Bank of Philadelphia Working Paper .
  • Carlino, G.A. and K. Sill. 2001. Regional Income Fluctuations: Common Trends and Common Cycles. Review of Economics and Statistics 83: 446456.
  • Case, K.E. 2000. Real Estate and the Macroeconomy. Brookings Papers on Economic Activity 2: 119162.
  • Case, K.E. and R. Shiller. 1989. The Efficiency of the Market for Single-Family Homes. American Economic Review 79: 125137.
  • Chiang, K. C. H., K. Kozhevnikov, M.-L. Lee and C.H. Wisen. 2006. REIT Mimicking Portfolio Analysis. International Real Estate Review 9: 95111.
  • Christie, A.A. 1982. The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects. Journal of Financial Economics 10: 407432.
  • Diebold, F. and G. Rudebusch. 1990a. A Nonparametric Investigation of Duration Dependence in the American Business Cycle. Journal of Political Economy 98: 596616.
  • Diebold, F. and G. Rudebusch. 1990b. Measuring Business Cycles: A Modern Perspective. Review of Economics and Statistics 78: 6777.
  • Douglas, G. 1969. Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency. Yale Economic Essays 9: 345.
  • Engle, R., D. Lilien. and R. Robins. 1987. Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model. Econometrica 55: 391407.
  • Fama, E.F. and K.R. French. 1989. Business Conditions and Expected Returns on Stocks and Bonds. Journal of Financial Economics 25: 2349.
  • Fratantoni, M. and S. Schuh. 2003. Monetary Policy, Housing, and Heterogeneous Regional Markets. Journal of Money, Credit, and Banking 35: 557589.
  • French, K.R., W. Schwert and R.F. Stambaugh. 1987. Expected Stock Returns and Volatility. Journal of Financial Economics 19: 329.
  • Geltner, D. 1993. Temporal Aggregation in Real Estate Return Indices. AREUEA Journal 21: 141166.
  • Geltner, D.M., N.G. Miller, J. Clayton and P. Eichholtz. 2000. Commercial Real Estate Analysis and Investments (2nd ed.). Cincinnati , OH : South-Western Educational Publishing.
  • Ghysels, E., A. Harvey and E. Renault. 1996. Stochastic Volatility. Handbook of Statistics, Vol. 14. Amsterdam: North-Holland , 177181.
  • Ghysels, E., P. Santa-Clara and R. Valkanov. 2004. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. Journal of Econometrics. Forthcoming.
  • Glosten, L., R. Jagannathan and D. Runkle. 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance 48: 17791801.
  • Goyal, A. and P. Santa-Clara. 2003. Idiosynchratic Risk Matters! The Journal of Finance 58: 9751007.
  • Hamilton, J. 1989. A New Approach to the Economics Analysis of Nonstationary Time Series and the Business Cycle. Econometrica 57: 357384.
  • Keim, D.B. and R.F. Stambaugh. 1986. Predicting Returns in the Stock and Bond Markets. Journal of Financial Economics 17: 357390.
  • Lamont, O. and J. Stein 1999. Leverage and House Price Dynamics in U.S. Cities. Rand Journal of Economics 30: 498514.
  • Lintner, J. 1965. Security Prices and Risk: The Theory and Comparative Analysis of A.T.&T. and Leading Industrials. Conference presentation. The Economics of Regulated Public Utilities. University of Chicago Business School .
  • Mahoney, J., S. McCarron, M. Miles and C.F. Sirmans. 1996. Locational Differences in Private and Public Real Estate Investment. Real Estate Finance 13: 5264.
  • Malpezzi, S. and J. Shilling. 2000. Institutional Investors Tilt Their Real Estate Holdings Toward Quality, Too. The Journal of Real Estate Finance and Economics 21: 113140.
  • Merton, R.C. 1973. An Intertemporal Capital Asset Pricing Model. Econometrica 41: 867887.
  • Merton, R.C. 1980. On Estimating the Expected Return on the Market: An Exploratory Investigation. Journal of Financial Economics 8: 323361.
  • Neftci, S. 1984. Are Economic Time Series Asymmetric over the Business Cycle Journal of Political Economy 92: 307328.
  • Owyang, M.T., J. Piger and H.J. Wall. 2003. Business Cycle Phases in U.S. States. Federal Reserve Bank of St. Louis Working Paper .
  • Owyang, M.T. and H.J. Wall. 2004. Structural Breaks and Regional Disparities in the Transmission of Monetary Policy. Federal Reserve Bank of St. Louis Working Paper .
  • Plazzi, A., W. Torous and R. Valkanov. 2004. Expected Returns and the Expected Growth in Rents of Commercial Real Estate. Working Paper.
  • Schwert, W.G. 1989. Why Does Stock Market Volatility Change over Time The Journal of Finance 44: 11151153.
  • Schwert, W.G. 1990. Stock Volatility and the Crash of 87. Review of Financial Studies 3: 77102.
  • Scruggs, J.T. 1998. Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach. The Journal of Finance 52: 575603.
  • Sichel, D. 1993. Business Cycle Asymmetry: A Deeper Look. Economic Inquiry 31: 224236.
  • Stambaugh, R.F. 1999. Predictive Regressions. Journal of Financial Economics 54: 375421.
  • Stock, J. and M. Watson. 1999. Inflation Forecasting. Journal of Monetary Economics 44: 293335.
  • Torous, W., R. Valkanov and S. Yan. 2005. On Predicting Stock Returns with Nearly Integrated Explanantory Variables. Journal of Business 77: 380403.
  • Turner, C.M., R. Startz and C.R. Nelson. 1989. A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market. Journal of Financial Economics 25: 322.
  • Whitelaw, R. 1994. Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns. The Journal of Finance 49: 515541.