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Time series modelling of real estate prices

Author

Listed:
  • Hiroshi Ishijima
  • Akira Maeda

Abstract

As real estate and financial asset markets are now merging, we need a theoretical foundation for analysis of real estate investments in conjunction with both domestic and international financial investments. This study presents a methodology for evaluating real estate values. Specifically, we extend a classical hedonic model to a sophisticated one that allows us to generate 'implied' capital returns on real estate and to estimate risks and returns on real estate investments. The results of our theory and statistical analysis here highlight the role of real estate investments in contrast to that of financial securities.

Suggested Citation

  • Hiroshi Ishijima & Akira Maeda, 2014. "Time series modelling of real estate prices," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 16(1), pages 26-45.
    • Handle: RePEc:ids:gbusec:v:16:y:2014:i:1:p:26-45
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