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dc.contributor.authorSimon, Arnaud
dc.date.accessioned2009-10-05T13:51:31Z
dc.date.available2009-10-05T13:51:31Z
dc.date.issued2007-02
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2119
dc.language.isoenen
dc.subjectInformationen
dc.subjectQuantificationen
dc.subjectReversibilityen
dc.subjectMarkovian processen
dc.subjectMonte Carlo simulationsen
dc.subject.ddc519en
dc.titleQuantifying the Reversibility Phenomenon for the Repeat-Sales Indexen
dc.typeCommunication / Conférence
dc.description.abstractenThe reversibility phenomenon for the repeat-sales index (RSI) is a serious obstacle for the derivatives products; it could hinder their introduction or their success. It is also an undesirable characteristic for the management of the real estate risk. This article provides a general solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula, easy to interpret and easy to handle, before implementing it. Our methodology is robust in the sense that its conclusions are not conditioned by any specific dataset; moreover, the numerical estimations of the reversibility percentages are reliable. For the derivatives our technique has strong implications for the choice of the underlying index. Indeed, even if the reversibility of the RSI is probably higher compared to the hedonic one, this index remains a challenger because of the predictability and the quantifiability of its revisions.en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00150902/en/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.conftitleEuropean real estate society ERES 2007- International conference of the American Real Estate and Urban Economics Association 2007en
dc.relation.confdate2007
dc.relation.confcityLondres - Macaoen
dc.relation.confcountryRoyaume-Unien


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