Empirical Analysis of Asset Markets and the Macroeconomy

The main research areas include:

• the construction of hedonic house price indices (including higher frequency indices)
• price-rent ratios and the detection of departures from equilibrium in the housing market
• valuing real estate for taxation purposes
• modling risk and return in the housing market
• using machine learning methods to identify trends in the housing market

The main research areas include:

• spatial chaining of price indices in international comparisons of prices and income
• the linking of regions in the World Bank’s International Comparisons Program
• the treatment of owner-occupied housing in the CPI
• the housing market’s role in monetary policy

The main research areas include:

• forecasting asset prices
• portfolio performance measurement
• volatility and dependence modeling and forecasting
• contagion in financial markets

• Copula models
• Time-varying parameter models
• IVX and MIDAS regressions

• Prasada Rao, University of Queensland, Australia
• Alicia Rambaldi, University of Queensland, Australia
• Chihiro Shimizu, Nihon University, Japan, and MIT, USA
• Sofie Waltl, LISER, Luxembourg
• Daniel Melser, Monash University, Australia
• Iqbal Syed, Massey Business School, New Zealand