Arvydas Jadevicius
Development of a Sesma model for short-term investment decision-making.
Jadevicius, Arvydas; Sloan, Brian; Brown, Andrew
Abstract
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.
Citation
Jadevicius, A., Sloan, B., & Brown, A. (2012). Development of a Sesma model for short-term investment decision-making.
Conference Name | 4th Annual Conference of the Global Chinese Real Estate Congress (GCREC) |
---|---|
Start Date | Jul 3, 2012 |
End Date | Jul 5, 2012 |
Publication Date | Mar 7, 2012 |
Deposit Date | Mar 9, 2012 |
Publicly Available Date | Mar 9, 2012 |
Peer Reviewed | Not Peer Reviewed |
Pages | 1195 |
ISBN | 978-7-5642-1401-2 |
Keywords | Commercial property; exponential smoothing; modelling; UK; |
Public URL | http://researchrepository.napier.ac.uk/id/eprint/5058 |
Files
GCREC_Paper_060312.pdf
(<nobr>725 Kb</nobr>)
PDF
Publisher Licence URL
http://creativecommons.org/licenses/by-nc/4.0/
You might also like
A perspective on the digital service industry for building professionals.
(2001)
Journal Article
The potential impact of electronic procurement and global sourcing within the UK construction industry.
(2001)
Conference Proceeding
The challenge of designing a computer network system: A snapshot of UK construction SMEs.
(2003)
Journal Article