Real Estate Modelling and Forecasting

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Cambridge University Press, Apr 15, 2010 - Business & Economics - 474 pages
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As real estate forms a significant part of the asset portfolios of most investors and lenders, it is crucial that analysts and institutions employ sound techniques for modelling and forecasting the performance of real estate assets. Assuming no prior knowledge of econometrics, this book introduces and explains a broad range of quantitative techniques that are relevant for the analysis of real estate data. It includes numerous detailed examples, giving readers the confidence they need to estimate and interpret their own models. Throughout, the book emphasises how various statistical techniques may be used for forecasting and shows how forecasts can be evaluated. Written by a highly experienced teacher of econometrics and a senior real estate professional, both of whom are widely known for their research, Real Estate Modelling and Forecasting is the first book to provide a practical introduction to the econometric analysis of real estate for students and practitioners.
 

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Contents

1
3
Econometric software package suppliers
20
1
21
1
41
3
47
An overview of regression analysis
72
52
84
bivariate case
104
Iterative procedures for dealing with autocorrelation
191
Time series models
225
Some derivations of properties of ARMA models
261
Forecast evaluation
268
Multiequation structural models
303
Vector autoregressive models
337
Cointegration in real estate markets
369
Real estate forecasting in practice
414

multiple regression case
133
heteroscedasticity
139
autocorrelation
146
The way forward for real estate modelling and forecasting
434
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About the author (2010)

Chris Brooks is Professor of Finance at the ICMA Centre, University of Reading, where he also obtained his PhD. He has published over sixty articles in leading academic and practitioner journals including the Journal of Business, the Journal of Banking and Finance, the Journal of Empirical Finance, the Review of Economics and Statistics and the Economic Journal. He is associate editor of a number of journals including the International Journal of Forecasting. He has also acted as consultant for various banks and professional bodies in the fields of finance, econometrics and real estate. He is the author of the bestselling textbook Introducing Econometrics for Finance (Cambridge, 2009), now in its second edition.

Sotiris Tsolacos is Director of European Research at Property and Portfolio Research. He has previously held positions with Jones Lang LaSalle Research and the University of Reading, where he also obtained his PhD. He has carried out extensive research work on modelling and forecasting real estate markets with over forty papers published in major international real estate research and applied economics journals. He is also a regular commentator on topical themes in the real estate market, with numerous contributions to practitioner journals.

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