Property Valuation Modeling and Forecasting 6 doc

... 90,488 6. 3 21 ,62 2 105 20, 260 102 1,925 954.5 1Q 06 −0.21 76, 289 90,441 6. 3 21,725 103 20, 361 101 1,930 925.0 2Q 06 −0.15 76, 1 76 90,4 96 6.3 21,827 102 20, 461 100 1,9 36 883.2 3Q 06 −0.12 76, 0 86 90,3 96 6.2 21,929 ... 112.59 1 06. 86 1 06. 00 108.91 114.13 115.88 VAR(2) 67 .04 69 .69 75.39 71.22 87.04 96. 64 103.89 115.39 AR(2) 77. 16 84.10 86. 17 76. 80 79.27 86. 63...

Ngày tải lên: 21/06/2014, 12:20

... theorem 263 –5 yield corporate bond 345 6, 349, 351, 3 56 dividend 162 , 345, 349, 351, 3 56, 358, 361 –2 equivalent 8 gross 8 initial 8, 2 46 net 8 yield curves 2 16 Yule–Walker equations 267 430 Real ... Tsolacos, S., and Olkkonen, O. (2000) The predictability of office prop- erty returns in Helsinki, Journal of Property Valuation and Investment 18 (6) , 565 –85. McNees, S. K. (1...

Ngày tải lên: 21/06/2014, 12:20

... follows. Model A: F-test = 1383. 86 − (992.91 + 209.81) (992.91 + 209.81) × 26 − 6 3 = 1.00 Model B: F-test = 1 460 .02 − (904.87 + 289 .66 ) (904.87 + 289 .66 ) × 27 − 6 3 = 1. 56 Applications of regression ... below. ˆ y = 6. 1 767 +49.458 inflation R 2 = 0.47 ˆ y = 4.1572 +0. 569 1 long-term government bond R 2 = 0.27 ˆ y = 5.5034 + 0. 461 2 short-term interest rates R 2 = 0. 76 ˆ...

Ngày tải lên: 21/06/2014, 12:20

... 5 .6 6.2 6. 1 6. 0 5.9 5.8 5.7 5 .6 5.5 5.4 5.5 5.4 (%) (%) 5.3 5.2 5.1 5.0 4Q 06 1Q07 2Q07 ( a ) Forecast period 1Q07–4Q07 ( b ) Forecast period 1Q 06 4Q 06 3Q07 4Q07 4Q05 1Q 06 2Q 06 3Q 06 4Q 06 Figure ... −0.098 2Q07 5.25 5 .63 0.253 3Q07 5.07 5.32 −0.308 4Q07 5.28 5.31 −0.004 Forecast period 1Q 06 4Q 06 4Q05 5. 96 5. 96 1Q 06 5.89 5.85 −0.107 2Q 06 5.87 6. 14 0.290 3Q 0...

Ngày tải lên: 21/06/2014, 12:20

... −0.1853 SPY t−1 0.013 −0.0 264 −0.3431 −0. 264 6 SPY t−2 −0.0251 0.0744 0.4375 0.2599 10Y t−1 0.0492 −0. 069 6 −0.2545 −0. 168 2 10Y t−2 −0.0072 0.0035 −0. 062 6 0.1374 AAA t−1 −0. 060 9 0.1145 0.1208 0.00 86 AAA t−2 −0.0019 ... −3.07 RES t−3 0.72 0.72 0.72 RES t−3 0. 36 0. 36 0. 36 3. 96 3.93 3.89 3.01 2.98 2.97 RES t−4 −0.19 −0.19 −0.19 RES t−4 0.29 0.29 0.30 −1 .66 −1 .65...

Ngày tải lên: 21/06/2014, 12:20

... −0.85 −1.40 −1 .62 −7 .69 Jul. 07 113.79 109.57 123.80 −0.41 −1.09 −1. 36 −5.44 Aug. 07 113 .66 109.24 123.58 −0.13 −0.33 −0.22 −5 .66 Sep. 07 113 .68 109.13 123 .60 0.02 −0.10 0.02 6. 08 Oct. 07 113.77 ... −3.17 0.8 0 .64 0 0.71 4Q08 91.5 162 .4 −3.02 0.8 0 .62 5 0 .69 1Q09 91 .6 163 .2 −3.39 0.8 0.118 0.13 2Q09 91.8 164 .0 −3.72 0.8 0.151 0. 16 3Q09 92.0 164 .9 −4.02 0.9 0.180 0.20 4Q...

Ngày tải lên: 21/06/2014, 12:20

... Strategy 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 1975 19 76 1977 1978 1979 1980 1981 1982 1983 1984 1985 19 86 1987 1988 1989 1990 1991 1992 1993 1994 1995 19 96 1997 1998 1999 2000 −8.0 6. 0 −4.0 −2.0 0.0 2.0 4.0 6. 0 8.0 10.0 12.0 DM/USD ... Historically, the typical mandate has allowed managers to vary the hedge ratio between 0 and 100% regardless of the benchmark. 8 .6. 3 Tracking...

Ngày tải lên: 20/06/2014, 18:20

... 41, 62 –3 government bonds, 42–3 yen, 4–5, 40, 43, 55, 74 6, 121 J-curve, 62 –3 Keynes, John Maynard, 9, 47, 65 Korea, 36, 62 , 1 26 won, 27, 115 koruna Czech, 45, 57, 1 76, 2 06 Slovak, 55, 2 06 Krugman, ... funds, 1 86 Malaysia, 69 , 110 ringgit, 125 managing currency risk, 12, 13 corporation and, 137– 56, 197–9 investor and, 157–74, 199–202 speculator and, 175–91, 202 matched...

Ngày tải lên: 20/06/2014, 18:20

... −2.0 0.8 2.1 19 96 −2.5 7.3 2 .6 2 .6 1997 5.3 7.1 3.4 4.7 1998 6. 2 10.1 4.0 5.4 1999 10.4 9.5 4.9 5 .6 2000 11.1 11.7 5.3 5.7 2001 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 ... Tokyo 200 120 100 80 60 60 40 20 0 −20 −40 60 40 20 0 1Q93 1971 1974 1977 1980 1983 19 86 1989 1992 1995 1998 2001 2004 2007 1Q 96 1Q99 1Q02 3Q03 3Q 06 1Q05 3Q94 3Q97 3Q0...

Ngày tải lên: 20/06/2014, 20:20