| Popis: |
This chapter presents the main real-estate indices used worldwide for investment purposes and on which derivatives contracts are very likely to be issued. It is important to know the type of real-estate index based on the method of construction. The chapter contains a description of the main real-estate indices used in real-estate derivatives contracts, indices that are built using various methodologies such as hedonic, repeat sales, appraisal, or transaction based. Themethod of construction of the real-estate index should be taken into consideration when modelling the real-estate indices. The stylized facts about the real-estate indices are important not only for a better understanding of the real-estate investmentmarket per se but also for better model construction for pricing real-estate derivatives. Serial correlation is amajor feature of real-estate indices as demonstrated comprehensibly in this chapter and in general this is positive short-term, and negative medium-term. Longer-term serial correlationmay switch back to being positive, albeit weakly positive, or disappear as in the case of daily calculated indices. Taking into account the stylized features of real-estate indices is necessary to avoid model risk. |
