Browsing Financial Mathematics Computation Cluster by Subject "Correlation"

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Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust

Cotter, John ; Gabriel, Stuart A. ; Roll, Richard (UCD Geary Institute, 2012-07)

Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, ...
Integration and contagion in US housing markets

Cotter, John ; Gabriel, Stuart A. ; Roll, Richard (2011)

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a ...