Eres : Digital Library : Works

Paper eres2004_121:
Quantitative Models and ARFIMA Modelling at PGGM Real Estate

id eres2004_121
authors de Haas, Peter; Pijnenburg Manicka
year 2004
title Quantitative Models and ARFIMA Modelling at PGGM Real Estate
source 11th European Real Estate Society Conference (2-5 June 2004) Milano, Italy
summary In this article we will discuss the use of quantitative models at PGGM Real Estate Investments and describe an ARFIMA time series model. We have created a framework for the description and estimation of an ARFIMA model and its use for making forecasts of property returns. The method that we have applied uses the theory of wavelets. The theory of wavelets consists of a mathematical technique that can filter data sequences. Furthermore we go into detail as to apply wavelets for maximum likelihood estimation of an ARFIMA model. We present the results of a study about the forecasting of PGGM’s Property Market Indicator using an ARFIMA model. Finally we discuss the relevance of the ARFIMA methodology as an instrument for defining a property investment strategy and tactical allocation.
series ERES:conference
discussion No discussions. Post discussion ...
ratings
session Real Estate Forecasting
last changed 2008/12/21 10:41
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