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The theory of index-based futures and options markets

Author

Listed:
  • Shiller, Robert J.

    (Yale University an NBER)

Abstract

This paper reviews the development of index-based futures and options markets. The thesis is that, while the growth of these markets to date has been dramatic, their development could be extended much further, if some problems of measurement can be solved.

Suggested Citation

  • Shiller, Robert J., 1993. "The theory of index-based futures and options markets," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(2), pages 163-178.
  • Handle: RePEc:emx:esteco:v:8:y:1993:i:2:p:163-178
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    File URL: http://estudioseconomicos.colmex.mx/archivo/EstudiosEconomicos1993/163-178.pdf
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    References listed on IDEAS

    as
    1. Robert J. Shiller, 1991. "Arithmetic Repeat Sales Price Estimators," Cowles Foundation Discussion Papers 971, Cowles Foundation for Research in Economics, Yale University.
    2. Clapp, John M & Giaccotto, Carmelo, 1992. "Estimating Price Trends for Residential Property: A Comparison of Repeat Sales and Assessed Value Methods," The Journal of Real Estate Finance and Economics, Springer, vol. 5(4), pages 357-374, December.
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    Cited by:

    1. Iacoviello, Matteo & Ortalo-Magne, Francois, 2003. "Hedging Housing Risk in London," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 191-209, September.
    2. Jansson, Thomas, 2013. "Housing Choices and Labor Income Risk," Working Paper Series 272, Sveriges Riksbank (Central Bank of Sweden).
    3. Todd Sinai & Nicholas Souleles, 2013. "Can Owning a Home Hedge the Risk of Moving?," American Economic Journal: Economic Policy, American Economic Association, vol. 5(2), pages 282-312, May.
    4. Joshua Aizenman & Brian Pinto, 2004. "Managing Volatility and Crises: A Practitioner's Guide Overview," NBER Working Papers 10602, National Bureau of Economic Research, Inc.
    5. Uluc, Arzu, 2015. "Stabilising house prices: the role of housing futures trading," Bank of England working papers 559, Bank of England.
    6. Gong, Pu & Dai, Jun, 2017. "Pricing real estate index options under stochastic interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 309-323.
    7. Steven F. Venti, 2015. "Comment on "House Price Volatility and the Housing Ladder"," NBER Chapters,in: Insights in the Economics of Aging, pages 119-125 National Bureau of Economic Research, Inc.
    8. Dag Einar Sommervoll & Jan de Haan, 2014. "Homes and Castles: Should We Care about Idiosyncratic Risk?," Land Economics, University of Wisconsin Press, vol. 90(4), pages 700-716.
    9. Steffen Sebastian & R. Maurer & Martin Pitzer, 2001. "Construction of a transaction based price index for the Paris housing market," ERES eres2001_276, European Real Estate Society (ERES).

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