Template-type: ReDIF-Paper 1.0
Author-Name: Huthaifa Alqaralleh     
Author-Email: huthaifa89@mutah.edu.jo 
Author-Name: Gazi Salah Uddin
Author-Email: gazi.salah.uddin@liu.se 
Author-Name: Canepa, Alessandra
Author-Email: alessandra.canepa@unito.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Time-frequency connectedness across housing markets, stock market and uncertainty: A Wavelet-Time Varying Parameter Vector Autoregression.
Abstract: In this study the time-frequency uncertainty and connectedness across housing markets, stock market are investigated through wavelet coherence 
analysis based on a continuous wavelet transform.
Moreover, another interesting question about whether the risk in housing market would be spilled-over from one region to another is answered using a novel 
model whose strength lies in combining wavelet analysis with Time Varying Parameter Vector Auto-regression (W-TVP-VAR). Our analysis reveals
evidence of long-run interdependence that intensified during the crisis period across short, medium, and long investment horizons. Moreover, the findings 
suggest a role for volatility spillover in the housing market from one region to another. The results of the latter connectedness in the network indicate 
that the housing market in one region is dominated by housing prices in another region.
Length: pages 28
Creation-Date: 2022-05
File-URL: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2022dip/wp_04_2022.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:202204