{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T21:45:20Z","timestamp":1792014320091,"version":"4.4.0"},"reference-count":27,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2015,6,4]],"date-time":"2015-06-04T00:00:00Z","timestamp":1433376000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/100000001","name":"National Science Foundation","doi-asserted-by":"publisher","award":["SES-0957330"],"award-info":[{"award-number":["SES-0957330"]}],"id":[{"id":"10.13039\/100000001","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001732","name":"Danish National Research Foundation","doi-asserted-by":"publisher","award":["DNRF78"],"award-info":[{"award-number":["DNRF78"]}],"id":[{"id":"10.13039\/501100001732","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2016,9]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>We construct <jats:italic>daily<\/jats:italic> 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\u2010sales method that closely mimics the methodology of the popular monthly Case\u2013Shiller 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 longer\u2010run monthly house price changes that are superior to various alternative forecast procedures based on lower\u2010frequency data. Copyright \u00a9 2015\u2009John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2471","type":"journal-article","created":{"date-parts":[[2015,6,4]],"date-time":"2015-06-04T15:29:32Z","timestamp":1433431772000},"page":"1005-1025","source":"Crossref","is-referenced-by-count":53,"title":["Daily House Price Indices: Construction, Modeling, and Longer\u2010run Predictions"],"prefix":"10.1002","volume":"31","author":[{"given":"Tim","family":"Bollerslev","sequence":"first","affiliation":[{"name":"Department of Economics Duke University  Durham NC USA"},{"name":"NBER  Cambridge MA USA"},{"name":"CREATES  Aaarhus Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Andrew J.","family":"Patton","sequence":"additional","affiliation":[{"name":"Department of Economics Duke University  Durham NC USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Wenjing","family":"Wang","sequence":"additional","affiliation":[{"name":"Quantitative Research Group Moody's Analytics, Inc.  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