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Article

Model House Price Volatilities: Spatial and Temporal Structure

Jiawei “David” Zhang and Lihua Zhang
The Journal of Structured Finance Summer 2019, jsf.2019.1.074; DOI: https://doi.org/10.3905/jsf.2019.1.074
Jiawei “David” Zhang
is a managing director and head of Securitized Product Research at MSCI in New York, NY
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Lihua Zhang
is an associate professor of management at Zhejiang University of Technology in Hang Zhou, Zhejiang, PRC
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Abstract

We propose a new type of house price model for risk management and asset pricing, different from the prevailing time series type of models commonly used by the academia and industry. It separates the modeling of HPA expectation and volatility. It models the essential features of house price volatilities in the simplest form. In terms of the volatility term structure, it models the house price mean reversion and momentum and exhibits short-term positive serial correlation and long-term negative serial correlation. It models the spatial correlation as well as local features of volatility term structure. It is in continuous time form, has only three parameters, and is analytically tractable. The model estimation is transparent, simple, robust, and accurate.

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The Journal of Structured Finance: 28 (2)
The Journal of Structured Finance
Vol. 28, Issue 2
Summer 2022
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Model House Price Volatilities: Spatial and Temporal Structure
Jiawei “David” Zhang, Lihua Zhang
The Journal of Structured Finance Apr 2019, jsf.2019.1.074; DOI: 10.3905/jsf.2019.1.074

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Model House Price Volatilities: Spatial and Temporal Structure
Jiawei “David” Zhang, Lihua Zhang
The Journal of Structured Finance Apr 2019, jsf.2019.1.074; DOI: 10.3905/jsf.2019.1.074
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