Wavelet Based Analysis of Major Real Estate Markets

  • Adil YILMAZ Yeditepe University
  • Gazanfer UNAL Yeditepe University
  • Cengiz KARATAS Yeditepe University

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.

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Published
2017-01-30
How to Cite
YILMAZ, Adil; UNAL, Gazanfer; KARATAS, Cengiz. Wavelet Based Analysis of Major Real Estate Markets. Journal of Advanced Studies in Finance, [S.l.], v. 7, n. 2, p. 107-116, jan. 2017. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/550>. Date accessed: 05 july 2022.
Section
Journal of Advanced Studies in Finance

Keywords

real estate markets; REIT; co-movement; wavelet coherence; VARMA