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Quantifying the reversibility phenomenon for the repeat-sales index

dc.contributor.authorSimon, Arnaud
dc.date.accessioned2009-07-03T09:42:52Z
dc.date.available2009-07-03T09:42:52Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/723
dc.language.isoenen
dc.subjectQuantificationen
dc.subjectMarkovian processen
dc.subjectMonte Carlo simulationsen
dc.subjectReversibilityen
dc.subjectDerivative securitiesen
dc.subjectRepeat-sales techniqueen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelG13
dc.subject.classificationjelR30
dc.titleQuantifying the reversibility phenomenon for the repeat-sales indexen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe reversibility phenomenon in the repeat-sales index is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula (simple, easy to interpret, and easy to handle) and then implement it. For the derivatives our technique has strong implications for the choice of underlying index and contract settlement. Even if reversibility of the RSI is probably higher compared with the hedonic approach, this index remains a challenger because of the predictability and quantifiability of its revisions.en
dc.relation.isversionofjnlnameThe Journal of real estate research
dc.relation.isversionofjnlvol31en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages27-62en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherAmerican Real Estate Societyen
dc.subject.ddclabelEconomie financièreen


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