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Information and repeat-sales

dc.contributor.authorSimon, Arnaud
dc.date.accessioned2010-01-19T15:22:08Z
dc.date.available2010-01-19T15:22:08Z
dc.date.issued2007-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3044
dc.language.isoenen
dc.subjectRepeat-sales indexen
dc.subjectinformationen
dc.subjectalgorithmic decompositionen
dc.subjectvolatilityen
dc.subjectreversibilityen
dc.subject.ddc332en
dc.subject.classificationjelG10en
dc.subject.classificationjelC32en
dc.titleInformation and repeat-salesen
dc.typeDocument de travail / Working paper
dc.description.abstractenWhat is the informational structure of the repeat-sales index? In this article we answer it, deconstructing the global index in its building blocks. As by-products of this reformulation we establish very simple and intuitive formulas for the volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price indexes (median, hedonic…). We introduce a methodology of data analysis that improves greatly the extraction of the information embedded in a dataset. At last, we give some elements for a more general theory of the informational repeat-sales indexes.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages58
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00164512/en/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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