• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - No thumbnail

Boundary effects and repeat-sales

Simon, Arnaud (2009), Boundary effects and repeat-sales. https://basepub.dauphine.fr/handle/123456789/527

View/Open
BERSI.doc (556.5Kb)
Type
Document de travail / Working paper
Date
2009
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
49
Metadata
Show full item record
Author(s)
Simon, Arnaud
Abstract (EN)
We 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).
Subjects / Keywords
Optimal parameters; Boundary effects; Repeat-sales; Sensitivity analysis
JEL
M11 - Production Management
M31 - Marketing

Related items

Showing items related by title and author.

  • Thumbnail
    Information and repeat-sales 
    Simon, Arnaud (2007-07) Document de travail / Working paper
  • Thumbnail
    Quantifying the reversibility phenomenon for the repeat-sales index 
    Simon, Arnaud (2009) Article accepté pour publication ou publié
  • Thumbnail
    Quantifying the Reversibility Phenomenon for the Repeat-Sales Index 
    Simon, Arnaud (2007-02) Communication / Conférence
  • Thumbnail
    Hydrodynamic limit for a chain with thermal and mechanical boundary forces 
    Komorowski, Tomasz; Olla, Stefano; Simon, Marielle (2021) Article accepté pour publication ou publié
  • Thumbnail
    Financialisation and participation in the metropolisation dynamics of European listed property companies 
    Coën, Alain; Languillon, Raphaël; Simon, Arnaud; Zaiter, Saadallah (2020) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo