Boundary effects and repeat-sales
Simon, Arnaud (2009), Boundary effects and repeat-sales. https://basepub.dauphine.fr/handle/123456789/527
View/ Open
Type
Document de travail / Working paperDate
2009Publisher
Université Paris-Dauphine
Published in
Paris
Pages
49
Metadata
Show full item recordAuthor(s)
Simon, ArnaudAbstract (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 analysisRelated items
Showing items related by title and author.
-
Simon, Arnaud (2007-07) Document de travail / Working paper
-
Simon, Arnaud (2009) Article accepté pour publication ou publié
-
Simon, Arnaud (2007-02) Communication / Conférence
-
Komorowski, Tomasz; Olla, Stefano; Simon, Marielle (2021) Article accepté pour publication ou publié
-
Coën, Alain; Languillon, Raphaël; Simon, Arnaud; Zaiter, Saadallah (2020) Article accepté pour publication ou publié