Wavelet Based Analysis Of Major Real Estate Markets

Yilmaz, Adil and Unal, Gazanfer and Karatasoglu, Cengiz (2016): Wavelet Based Analysis Of Major Real Estate Markets.

Abstract

Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales. Here, we analyze the wavelet coherence of major real estate markets data. Our paper is the first to link co-movement in terms of wavelet coherence. Here we consider USA, Canada, Japan, China and Developed Europe real estate market prices as time series.Wavelet coherence results reveal interconnected relationships between these markets and how these relationships vary in the time-frequency space. These relationships allow us to build VARMA models of real estate data which yield forecast results with small errors.

• Item Type: MPRA Paper
• Language: English
• Keywords: Real Estate Markets, REIT, Co-movement, Wavelet Coherence, Varma
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General; F - International Economics > F2 - International Factor Movements and International Business > F21 - International Investment ; Long-Term Capital Movements; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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