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Development of a Sesma model for short-term investment decision-making.

Jadevicius, Arvydas, Sloan, Brian and Brown, Andrew (2012) Development of a Sesma model for short-term investment decision-making. In: 4th Annual Conference of the Global Chinese Real Estate Congress (GCREC), 3-5 July 2012, Macau, China.

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    Abstract/Description

    ARIMA models have been extensively used for property market modelling. Property researchers have used this type of univariate forecasting technique to predict property rents, returns and yields. However, it has been indicated that ARIMA models could be improved. Accordingly, this current research examines an alternative specification of the ARIMA technique. The proposed model replaces the Autoregressive (AR) element with Simple Exponential Smoothing (SES) element within the ARIMA framework. This creates a SESMA model. The empirical results indicate that this mathematical manipulation improves model out-of-sample forecasting accuracy. This therefore suggests that the SESMA model could successfully be employed for short-term investment decision-making.

    Item Type: Conference or Workshop Item (Paper)
    ISBN: 978-7-5642-1401-2
    Uncontrolled Keywords: Commercial property; exponential smoothing; modelling; UK;
    University Divisions/Research Centres: Faculty of Engineering, Computing and Creative Industries > School of Engineering and the Built Environment
    Dewey Decimal Subjects: 300 Social sciences > 330 Economics > 333 Economics of land & energy
    600 Technology > 620 Engineering > 620 Engineering & allied operations
    Library of Congress Subjects: H Social Sciences > HB Economic Theory
    H Social Sciences > HD Industries. Land use. Labor
    Item ID: 5058
    Depositing User: Prof. Brian Sloan
    Date Deposited: 09 Mar 2012 10:00
    Last Modified: 13 May 2014 14:36
    URI: http://researchrepository.napier.ac.uk/id/eprint/5058

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