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英文文献：Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions-每日房价指数:建筑、建模和长期预测
英文文献作者：Tim Bollerslev,Andrew J. Patton,Wenjing Wang
英文文献摘要：
We construct daily house price indices for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case-Shiller house price indices. Our new daily house price indices exhibit dynamic features similar to those of other daily asset prices, with mild autocorrelation and strong conditional heteroskedasticity of the corresponding daily returns. A relatively simple multivariate time series model for the daily house price index returns, explicitly allowing for commonalities across cities and GARCH effects, produces forecasts of monthly house price changes that are superior to various alternative forecast procedures based on lower frequency data.
我们为美国10个主要大都市地区编制每日房价指数。我们的计算是基于一个包含数百万住宅物业交易的全面数据库，以及一种标准的重复销售方法，这种方法与流行的每月Case-Shiller房价指数的方法非常相似。新的日房价指数表现出与其他日资产价格相似的动态特征，日收益具有温和的自相关性和强的条件异方差。一个相对简单的每日房价指数回报的多元时间序列模型，明确考虑到城市之间的共同点和GARCH效应，产生每月房价变化的预测，优于基于较低频率数据的各种替代预测程序。
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