IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Forecasting Dynamic Investment Timing under the Cyclic Behavior in Real Estate

  • Changha Jin


    (Department of Real Estate, J. Mack Robinson College of Business, Georgia State University, P.O. Box 4020, Atlanta, Georgia 30302-4020)

  • Terry V. Grissom


    (School of the Built Environment, The University of Ulster, Jordanstown Campus, Shore Road, Newtownabbey Co. Antrim. UK BT 37)

This paper applies the Hodrck-Prescott (HP) filter to forecast short-term residential real estate prices under cyclical movements. We separate the trend component from the cyclical component. We show that each regional residential market reacts not only to previous price movements, but also that these regional markets react to previous shocks under Auto Regressive Integrated Moving Average (ARIMA) modeling. Using the S&P Case-Shiller Home Price Index, we compare our forecast to index values from the Chicago Mercantile Exchange (CME) Housing Futures and Options. Our study identifies possible systematic errors from the different price adjustments reflecting current market situations.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: Full text
Download Restriction: no

Article provided by Asian Real Estate Society in its journal International Real Estate Review.

Volume (Year): 11 (2008)
Issue (Month): 2 ()
Pages: 105-125

in new window

Handle: RePEc:ire:issued:v:11:n:02:2008:p:105-125
Contact details of provider: Postal:
Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA

Web page:

Order Information: Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Web: Email:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:11:n:02:2008:p:105-125. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (IRER Secretary Office/Webmaster)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.