The Role of Copulas in the Housing Crisis (REStat 2012)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
David M. Zimmer The Role of Copulas in the Housing Crisis REStat 2012 2 607-20 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website Autoregressive model (AR), Generalized autoregressive conditional heteroskedasticity (GARCH) - Federal Housing Finance Agency Housing Price Index (HPI) 1975-2009 California, Arizona, Nevada, Florida, USA Stata, 10

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Anson T. Y. Ho, Kim P. Huynh, David T. Jacho-Chávez Flexible Estimation of Copulas: An Application to the US Housing Crisis JAE 2016 3 603-10 - - 4 - (new methods & data) - - - -

References

DOI: 10.1162/REST_a_00172 IDEAS: a/tpr/restat/v94y2012i2p607-620.html EconPapers: RePEc:tpr:restat:v:94:y:2012:i:2:p:607-620


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