Now showing items 1-6 of 6

    • An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets 

      Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo (2005-01-01)
      Using a nonparametric technique for the identification of regime shifts, we find breaks in the structural relations between currency and equity returns and return volatility in Indonesia, Malaysia, the Philippines, South ...
    • Is There Excess Comovement in the U.S. Real Estate Markets 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2007-09-14)
      This study addresses the recent performance of the U.S. residential real estate market. We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas from January 1987 to October 2006. We ...
    • On the Price Comovement of U.S. Residential Real Estate Markets 

      Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo (2014-04-01)
      We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can ...
    • Regime Shifts in Asian Equity and Real Estate Markets 

      Kallberg, Jarl G.; Liu, Crocker H.; Pasquariello, Paolo (2002-01-01)
      This paper applies a new statistical technology for identifying regime shifts to analyze recent data on real estate and equity markets in eight developing Far Eastern countries in the 1992–1998 time period. We find that ...
    • The Real Estate Market in the Aftermath of September 11 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2004-06-01)
      This study examines the reaction of the financial markets to the terrorist attack on the World Trade Center and how their behavior compared to the subsequent resolution in the corresponding real asset markets. This event ...
    • Updating Expectations: An Analysis of Post-9/11 Returns 

      Kallberg, Jarl; Liu, Crocker H.; Pasquariello, Paolo (2008-01-01)
      This study analyzes how three groups of market participants—insiders, analysts, and all other investors—revised their expectations on New York Real Estate Investment Trusts (REITs) in response to the catastrophic events ...