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Journal of Property Research Volume 14, 1997 - Issue 3
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Original Articles

Unsmoothing valuation-based indices using multiple regimes

Russell Chaplin
Pages 189-210 | Published online: 30 Nov 2010

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Read on this site (4)

Andreas M. Gohs, Pascal Frömel & Steffen Sebastian. (2022) Unstable Unsmoothing—An Evaluation of Correction Procedures for Appraisal-Based Real Estate Indices. Journal of Real Estate Portfolio Management 28:1, pages 78-107.
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Pin-te Lin & Franz Fuerst. (2014) The integration of direct real estate and stock markets in Asia. Applied Economics 46:12, pages 1323-1334.
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Pin-te Lin & Franz Fuerst. (2014) Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market. Journal of Real Estate Portfolio Management 20:1, pages 37-46.
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David Geltner & David Ling. (2006) Considerations in the Design and Construction of Investment Real Estate Research Indices. Journal of Real Estate Research 28:4, pages 411-444.
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Articles from other publishers (21)

Jean‐Christophe Delfim & Martin Hoesli. (2020) Robust desmoothed real estate returns. Real Estate Economics 49:1, pages 75-105.
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Stephen Satchell & Andrew GrantDan Bartolomeo & William E. Zieff. 2020. Market Momentum. Market Momentum 86 102 .
Pablo Durán Santomil, Luís Otero González, Onofre Martorell Cunill & Anna M. Gil-Lafuente. (2019) PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES. Technological and Economic Development of Economy 25:1, pages 1-19.
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Michael Stein. (2017) Limits to Diversification: Tail Risks in Real Estate Portfolios . The Journal of Alternative Investments 20:1, pages 61-80.
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Helen Xiaohui Bao, Helen Hui Huang, Yu-Lieh Huang & Pin-te Lin. (2014) Volatility clustering in land markets. Property Management 32:5, pages 378-385.
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Colin Lizieri, Stephen Satchell & Warapong Wongwachara. (2012) Unsmoothing Real Estate Returns: A Regime‐Switching Approach. Real Estate Economics 40:4, pages 775-807.
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Johnny Siu-Hang Li, Mary R. Hardy & Ken Seng Tan. (2009) On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms. Journal of Risk and Insurance 77:2, pages 499-522.
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Neil Dunse, Colin Jones & Michael White. (2010) Valuation accuracy and spatial variations in the efficiency of the property market. Journal of European Real Estate Research 3:1, pages 24-45.
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Gianluca Marcato & Tony Key. (2007) Smoothing and Implications for Asset Allocation Choices. The Journal of Portfolio Management 33:5, pages 85-99.
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Richard Gerlach, Patrick Wilson & Ralf Zurbruegg. (2006) Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets. Journal of International Money and Finance 25:6, pages 974-991.
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Philip M. Booth & Gianluca Marcato. (2004) The dependency between returns from direct real estate and returns from real estate shares. Journal of Property Investment & Finance 22:2, pages 147-161.
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P. M. BoothProfessorProfessor & G. Marcato. (2011) The Measurement and Modelling of Commercial Real Estate Performance. British Actuarial Journal 10:1, pages 5-61.
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David GeltnerBryan D. MacGregorGregory M. Schwann. (2016) Appraisal Smoothing and Price Discovery in Real Estate Markets. Urban Studies 40:5-6, pages 1047-1064.
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Chris LeishmanChris Leishman. 2003. Real Estate Market Research and Analysis. Real Estate Market Research and Analysis 97 113 .
Russell Chaplin. (2000) Predicting real estate rents: walking backwards into the future. Journal of Property Investment & Finance 18:3, pages 352-370.
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Heather Tarbert & John‐Paul Marney. (1999) Estimation and analysis of the risk premium for commercial property. Journal of Property Investment & Finance 17:3, pages 261-279.
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Neil Dunse, Colin Jones, Allison Orr & Heather Tarbet. (1998) The extent and limitations of local commercial property market data. Journal of Property Valuation and Investment 16:5, pages 455-473.
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Colin Lizieri, Bryan MacGregor & Michael Ball. 1998. The Economics of Commercial Property Markets. The Economics of Commercial Property Markets.
Andreas Gohs, Pascal Frömel & Steffen P. Sebastian. (2022) Unstable Unsmoothing - An Evaluation of Correction Procedures for Appraisal-Based Real Estate Indices. SSRN Electronic Journal.
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Michael Stein. (2015) Tales of Tails and Their Removal in Real Estate Portfolios: Does Normality Prevent from Risk?. SSRN Electronic Journal.
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Warapong Wongwachara. (2011) The Effect of Smoothing on Optimal Portfolio Choice: Some Analytical and Computational Results. SSRN Electronic Journal.
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