| 房地产价格随机波动与房地产收益风险值(VaR)的研究 |
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| 引用本文： | 宋娜娜,张利军.房地产价格随机波动与房地产收益风险值(VaR)的研究[J].价值工程,2009,28(5):161-163. |
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| 作者姓名： | 宋娜娜 张利军 |
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| 作者单位： | 中南大学商学院,长沙,410083 |
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| 摘 要： | 分析房地产价格的变化规律,科学准确地预测未来某一时点的价格,对房地产投资和国家针对房地产过热问题进行宏观调控具有重要指导意义。探讨了VaR方法在房地产收益波动性度量中的应用,并对上海住宅和办公楼价格指数时间序列收益率风险进行了实证研究;结果表明,SV模型能很好刻画价格指数实际特征,也能准确地预测房地产价格波动性。
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| 关 键 词： | 房价指数 波动性度量 VaR方法 SV模型 |
To Study on Price Stochastic Volatility of Real Estate and Value at Risk of Real Estate Return |
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| Song Nana,Zhang Lijun.To Study on Price Stochastic Volatility of Real Estate and Value at Risk of Real Estate Return[J].Value Engineering,2009,28(5):161-163. |
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| Authors: | Song Nana Zhang Lijun |
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| Institution: | School of Business;Central-South University;Changsha 410083;China |
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| Abstract: | The paper analyzes the stochastic volatility of real estate price,which is important to invest real estate and instruct national macroscopical policy to real estate.The paper analyzes the statistical characteristic of Shanghai's real estate return series and applies the VaR method based on SV model in measuring the volatility of real estate return.SV model is superior to describe the characters of real estate market and predicts the stochastic volatility of real estate perfectly. |
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| Keywords: | housing price index volatility measurement VaR method SV model |
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