Is it possible to construct derivatives for the Paris residential market?
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2008. "Is It Possible to Construct Derivatives for the Paris Residential Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 233-264, October.
- Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2007. "Is it possible to construct derivatives for the Paris residential market?," THEMA Working Papers 2007-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
References listed on IDEAS
- Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995.
"Market Time and Asset Price Movements: Theory and Estimation,"
Cahiers de recherche
9536, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
- Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques.
- John M. Clapp & Carmelo Giaccotto, 1999.
"Revisions in Repeat‐Sales Price Indexes: Here Today, Gone Tomorrow?,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(1), pages 79-104, March.
- John Clapp, 1998. "Revisions in Repeat Sales Price Indices: Here Today, Gone Tomorrow?," ERES eres1998_128, European Real Estate Society (ERES).
- Clapham, Eric & Englund, Peter & Quigley, John M. & Redfearn, Christian L., 2007. "Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series qt1m2340dt, Berkeley Program on Housing and Urban Policy.
- Spanos,Aris, 1999. "Probability Theory and Statistical Inference," Cambridge Books, Cambridge University Press, number 9780521424080.
- Eric Clapham & Peter Englund & John M. Quigley & Christian L. Redfearn, 2006.
"Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 34(2), pages 275-302, June.
- Clapham, Eric & Englund, Peter & Quigley, John M. & Redfearn, Christian L., 2007. "Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series qt1m2340dt, Berkeley Program on Housing and Urban Policy.
- Michel Baroni & Fabrice Barthe´le´my & Mahdi Mokrane, 2007. "APCA Factor Repeat Sales Index for Apartment Prices in Paris," Journal of Real Estate Research, American Real Estate Society, vol. 29(2), pages 137-158.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2011.
"A repeat sales index robust to small datasets,"
Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 29(1), pages 35-48, February.
- Baroni Michel & Barthélémy Fabrice & Mokrane Madhi, 2009. "A repeat sales index robust to small datasets," THEMA Working Papers 2009-16, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Michel Baroni & Fabrice Barthélémy & Mokrane Mahdi, 2009. "A Repeat Sales Index Robust to Small Datasets," Post-Print hal-00551732, HAL.
- Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2009. "A repeat sales index Robust to small datasets," ESSEC Working Papers DR 09003, ESSEC Research Center, ESSEC Business School.
- Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
- DeForest McDuff, 2012. "Home Price Risk, Local Market Shocks, and Index Hedging," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 212-237, June.
- Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2020. "A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?," Journal of Economic Perspectives, American Economic Association, vol. 34(4), pages 121-145, Fall.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2011.
"A repeat sales index robust to small datasets,"
Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 29(1), pages 35-48, February.
- Baroni Michel & Barthélémy Fabrice & Mokrane Madhi, 2009. "A repeat sales index robust to small datasets," THEMA Working Papers 2009-16, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Michel Baroni & Fabrice Barthélémy & Mokrane Mahdi, 2009. "A Repeat Sales Index Robust to Small Datasets," Post-Print hal-00551732, HAL.
- Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2009. "A repeat sales index Robust to small datasets," ESSEC Working Papers DR 09003, ESSEC Research Center, ESSEC Business School.
- Arnaud Simon, 2009. "Quantifying the reversibility phenomenon for the repeat-sales index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 27-62.
- Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
- Dorsey, Robert E. & Hu, Haixin & Mayer, Walter J. & Wang, Hui-chen, 2010. "Hedonic versus repeat-sales housing price indexes for measuring the recent boom-bust cycle," Journal of Housing Economics, Elsevier, vol. 19(2), pages 75-93, June.
- Song Shi & Martin Young & Bob Hargreaves, 2010. "House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 75-100.
- Sam K. Hui & Alvin Cheung & Jimmy Pang, 2010. "A Hierarchical Bayesian Approach for Residential Property Valuation:Application to Hong Kong Housing Market," International Real Estate Review, Global Social Science Institute, vol. 13(1), pages 1-29.
- Alex Minne & Marc Francke & David Geltner & Robert White, 2020. "Using Revisions as a Measure of Price Index Quality in Repeat-Sales Models," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 514-553, May.
- Joseph M. Silverstein, 2014. "House price indexes: methodology and revisions," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Jun.
- Dragana Cvijanović & Stanimira Milcheva & Alex Minne, 2022. "Preferences of Institutional Investors in Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 65(2), pages 321-359, August.
- Yongheng Deng & John Quigley, 2008.
"Index Revision, House Price Risk, and the Market for House Price Derivatives,"
The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 191-209, October.
- Deng, Yongheng & Quigley, John M., 2008. "Index Revision, House Price Risk, and the Market for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series qt4sw0x30t, Berkeley Program on Housing and Urban Policy.
- Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
- Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
- Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
- Alfredo A. Romero, 2014. "Where do Moderation Terms Come from in Binary Choice Models?," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 57-68, March.
- Paul Cheshire & Gerard Dericks, 2013. "Regulation, Rents and 'Iconic Design': rent acquisition by design in the tightly constrained London office market," ERSA conference papers ersa13p1071, European Regional Science Association.
- Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998.
"On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited,"
Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
- Amigues, J-P & Favard, P & Gaudet, G & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Universite de Montreal, Departement de sciences economiques.
- Amigues, J.-P. & Favard, P. & Gaudet, G. & Moreaux, M., 1996. "On The Optimal Order of Natural Resourse Use When the Capacity of the Inexhaustible Substitute is Limited," Papers 96.431, Toulouse - GREMAQ.
- Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- McGuirk, Anya M. & Spanos, Aris, 2004. "Revisiting Error Autocorrelation Correction: Common Factor Restrictions And Granger Causality," 2004 Annual meeting, August 1-4, Denver, CO 20176, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Aris Spanos & Niki Papadopoulou, 2013. "A Small Macroeconometric Model for the Cyprus Economy," Working Papers 2013-02, Central Bank of Cyprus.
- Fu, Shengfei & Florkowski, Wojciech, 2016. "Polish Household Consumption of Tobacco and Alcohol: A Censored System," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 229795, Southern Agricultural Economics Association.
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
More about this item
Keywords
Real estate indices; Index revision; Real estate derivatives products;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-URE-2008-01-26 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebg:essewp:dr-07026. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sophie Magnanou (email available below). General contact details of provider: https://edirc.repec.org/data/essecfr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.