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dc.contributor.authorSimon, Arnaud
dc.date.accessioned2009-06-29T11:56:58Z
dc.date.available2009-06-29T11:56:58Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/527
dc.language.isoenen
dc.subjectOptimal parametersen
dc.subjectBoundary effectsen
dc.subjectRepeat-salesen
dc.subjectSensitivity analysisen
dc.subject.ddc658.8en
dc.subject.classificationjelM11en
dc.subject.classificationjelM31en
dc.titleBoundary effects and repeat-salesen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe study in this article the consequences of the double censoring (right and left) applied on every sample of repeat-sales before calculating a repeat-sales index. We show that, independently of the specificities of each dataset, there exist some intrinsic features for this kind of index that directly depend on the censoring mechanism. Working with the standard deviation of the estimator and the well known bias of the Cass, Shiller model we bring to fore a time structure for these two quantities. Their behaviour is different near the edges of the interval compared to the middle, and this phenomenon is generally more pronounced for the right side than for the left side. A sensitivity analysis is developed using a “neutral sample” in order to study the way this U-shape evolve in relation with the fundamental parameters. With this analysis we also try to determine the optimal length of the estimation interval, the consequences of the data dispersion and the impact of the liquidity levels in the market (number of goods sold at each date and resale speed).en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages49en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelMarketingen


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