This paper compares alternative methods for taking spatial dependence into account in house price prediction. We select hedonic methods that have been reported in the literature to perform relatively well in terms of ex-sample prediction accuracy. Because differences in performance may be due to...

"An important objective in the construction of real estate price indices is the creation of subindices by region or by neighbourhood. Environmental changes such as the improvement in the accessibility of a neighbourhood will result in different price changes across neighbourhoods. It is...

ERES:conference

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate markets and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK specification of their covariance...

ERES:conference

In this paper, we use the adjusted present value methodology with Monte Carlo simulations in a real estate valuation context. Monte Carlo simulations make it possible to incorporate the uncertainty in the components of future cash flows and in the discount rate. We use empirical data to extract...

ERES:conference

The discrepancy between suggested and actual allocations to real estate by institutional investors constitutes a puzzle. The allocation to real estate, however, has increased in recent years and as a result the flows to the market are now of great magnitude. In this paper, we argue that an...

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as alternative forecasting variables that proxy for the set of economic variables that...

ERES:conference