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作者

Jean‐Christophe Delfim;Martin Hoesli

来源

REAL ESTATE ECONOMICS,Vol.49,Issue1,P.75-105

语言

英文

关键字

作者单位

Correspondence Jean‐Christophe Delfim, Geneva School of Economics and Management, University of Geneva, 40 boulevard du Pont‐d'Arve, CH‐1211 Geneva 4, Switzerland. Email: jean-christophe.delfim@unige.ch;University of Aberdeen Business School, Aberdeen, UK Kedge Business School, Talence, France

摘要

This research starts from the observation that common desmoothing models are likely to generate some extreme returns that will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction‐based index were available. Thus, we propose to improve the desmoothing models by incorporating a robust filter into the procedure. We report that in addition to properly treating for smoothing, the method prevents the occurrence of extreme values. As shown with U.S. data, our method leads to desmoothed series whose characteristics are akin to those of transaction‐based indices.