Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
每日房价指数:构建、建模与较长期预测
Summary We construct daily house price indices for 10 major US 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…