Real Estate Modelling and Forecasting Hardcover 1 potx

... securitised real estate 404 12 .10 The Johansen approach: a case study 411 13 Real estate forecasting in practice 414 13 .1 Reasons to intervene in forecasting and to use judgement 415 13 .2 How do ... model 4 1. 4 Model building in real estate 5 1. 5 What do we model and forecast in real estate? 6 1. 6 Model categorisation for real estate forecasting 8 1...

Ngày tải lên: 20/06/2014, 20:20

... B Fitted Actual Fitted 30 20 10 10 −20 −30 0 19 82 19 84 19 86 19 88 19 90 19 92 19 94 19 96 19 98 2000 2002 2004 2006 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 (%) (%) 30 Model A Model B 20 10 10 −20 0 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 (%) Figure ... – VAC t – −0.67 (0 .11...

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... Tokyo 200 12 0 10 0 80 60 60 40 20 0 −20 −40 −60 40 20 0 1Q93 19 71 1974 19 77 19 80 19 83 19 86 19 89 19 92 19 95 19 98 20 01 2004 2007 1Q96 1Q99 1Q02 3Q03 3Q06 1Q05 3Q94 3Q97 3Q00 0 1Q78 1Q80 1Q82 1Q84 1Q86 1Q88 1Q90 1Q92 1Q94 1Q96 1Q98 1Q00 1Q02 1Q04 1Q06 Figure ... 5.7 20 01 11. 3 5.4 5.8 7 .1 2002 4.0 5.6 6.2 7.3 2003 2.6 5.7 9.6 8.0 2004 −3.7 2 .1 9.9 9.5 2005 0.8 4.7 1...

Ngày tải lên: 21/06/2014, 00:20

... %) (euros) (index) (%) (%)(%) (%) 0 19 80 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 19 83 19 86 19 89 19 92 19 95 19 98 20 01 2004 2007 19 80 19 83 19 86 1...

Ngày tải lên: 21/06/2014, 07:20

... Tokyo 200 12 0 10 0 80 60 60 40 20 0 −20 −40 −60 40 20 0 1Q93 19 71 1974 19 77 19 80 19 83 19 86 19 89 19 92 19 95 19 98 20 01 2004 2007 1Q96 1Q99 1Q02 3Q03 3Q06 1Q05 3Q94 3Q97 3Q00 0 1Q78 1Q80 1Q82 1Q84 1Q86 1Q88 1Q90 1Q92 1Q94 1Q96 1Q98 1Q00 1Q02 1Q04 1Q06 Figure ... −3.7 2 .1 9.9 9.5 2005 0.8 4.7 10 .4 10 .1 2006 9.6 8.0 11 .1 11. 7 2007 9.9 13 .3 11 .3 13 .3 Min −3.7...

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... analysis 81 25 (yoy%) (yoy%) 20 15 10 5 −5 10 1 −2 −3 15 −20 −25 19 79 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 19 79 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 0 (a) ... employment and real rent growth, shown in figure 4.6, reveals a positive relationship that conforms with our expectations....

Ngày tải lên: 20/06/2014, 20:20

... %) (euros) (index) (%) (%)(%) (%) 0 19 80 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 19 81 1983 19 85 19 87 19 89 19 91 1993 19 95 19 97 19 99 20 01 2003 2005 2007 19 83 19 86 19 89 19 92 19 95 19 98 20 01 2004 2007 19 80 19 83 19 86 1...

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... SBIC 1, 1 1. 94 1. 87 1, 2 1. 95 1. 85 1, 3 1. 98 1. 89 1, 4 1. 97 1. 83 2 ,1 1. 92 1. 83 2,2 1. 92 1. 80 2,3 1. 95 1. 81 2,4 1. 93 1. 77 3 ,1 1. 97 1. 85 3,2 1. 95 1. 81 3,3 −2 .18 −2.02 3,4 −2 .15 1. 96 4 ,1 ... mid -19 80s, together with the sum of the dummies at each point in time, presented in the last column. D1 D2 D3 D4Sum 19 86 Q1 1 0 0 0 1 Q2 010 01 Q30 010 1 Q400 011...

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... 11 8 15 7 19 6 235 274 313 352 3 91 430 469 Figure 12 .3 Example of a white noise process 70 60 50 40 30 20 10 0 10 –20 1 19 37 55 73 91 109 12 7 14 5 16 3 18 1 19 9 217 235 253 2 71 289 307 325 343 3 61 ... u t (12 .1) 376 Real Estate Modelling and Forecasting 30 25 20 15 10 5 0 –5 1 40 11 8 15 7 2 74 313 352 3 91 430 46979 19 6 235 Figure 12 .5 Time...

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... in Cointegration in real estate markets 411 11 5 Actual Forecast 11 4 11 3 11 2 11 1 11 0 10 9 10 8 10 7 Jan. 07 Feb. 07 Mar. 07 Apr. 07 May. 07 Jun. 07 Jul. 07 Figure 12 .12 Ex post VECM predictions 12 .10 The Johansen ... by y t−k = ⎛ ⎜ ⎜ ⎝ α 11 α 12 α 13 α 14 ⎞ ⎟ ⎟ ⎠  β 11 β 12 β 13 β 14  ⎛ ⎜ ⎜ ⎝ y 1 y 2 y 3 y 4 ⎞ ⎟ ⎟ ⎠ t−k (12 .72) Equation (12 .72) c...

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