Marc Francke

University of Amsterdam - Faculty of Economics and Business (FEB)

Plantage Muidergracht 12

Amsterdam, 1018 TV

Netherlands

http://www.uva.nl/en/contact/staff/item/m.k.francke.html?f=francke

Ortec Finance

Head of Real Estate Research

Orly Centre

Barajasweg 10

Amsterdam, 1043 CP

Netherlands

http://www.ortec-finance.com

SCHOLARLY PAPERS

19

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CITATIONS
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30

Scholarly Papers (19)

1.

Evaluation of House Price Models Using an ECM Approach: The Case of the Netherlands

OFRC Working Paper No. 2009-05
Number of pages: 28 Posted: 28 Oct 2010
Marc Francke, Suncica Vujic and G.A. Vos
University of Amsterdam - Faculty of Economics and Business (FEB), Vrije Universiteit Amsterdam, School of Business and Economics and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 244 (124,426)
Citation 6

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Bubble, Cointegration, Error Correction Model, Long-run Equilibrium

Risk-Neutral Valuation of Real Estate Derivatives

ORTEC Technical Paper No. 2009-02
Number of pages: 32 Posted: 16 Jan 2010 Last Revised: 26 Oct 2010
Ortec Finance, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam and Maastricht University
Downloads 231 (130,941)

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Real estate derivatives, Option pricing, Incomplete markets, Price discovery, Autoregressive models, Seasonality, Stochastic volatility

Risk-Neutral Valuation of Real Estate Derivatives

Netspar Discussion Paper No. 10/2009-048, Ortec Finance Research Center Technical Paper No. 2009-02, https://doi.org/10.3905/jod.2015.23.1.089
Posted: 20 May 2019
Ortec Finance, University of Amsterdam - Faculty of Economics and Business (FEB), Ortec Finance and Maastricht University
Downloads 0 (176,762)

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Real Estate Derivatives, Option Pricing, Incomplete Markets, Price Discovery, Autoregressive Models, Seasonality, Stochastic Volatility

3.

Revisions in Granular Repeat Sales Indices

Number of pages: 46 Posted: 12 Aug 2017
University of Amsterdam - Faculty of Economics and Business (FEB), Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) and Real Capital Analytics (RCA)
Downloads 215 (140,891)
Citation 4

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Commercial Real Estate, Stochastic Volatility, Revisions, Bayesian Repeat Sales

Likelihood Functions for State Space Models with Diffuse Initial Conditions

Tinbergen Institute Discussion Paper No. TI 2008-040/4
Number of pages: 26 Posted: 16 Apr 2008
Marc Francke, Siem Jan Koopman and Aart F. de Vos
University of Amsterdam - Faculty of Economics and Business (FEB), Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 108 (251,184)

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Diffuse likelihood, Kalman filter, Marginal likelihood, Multivariate time series models, Profile likelihood

Likelihood Functions for State Space Models with Diffuse Initial Conditions

Journal of Time Series Analysis, Vol. 31, Issue 6, pp. 407-414, November 2010
Number of pages: 8 Posted: 12 Oct 2010
Marc Francke, Siem Jan Koopman and Aart F. de Vos
University of Amsterdam - Faculty of Economics and Business (FEB), Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2 (665,816)
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Internet Search Behavior, Liquidity and Prices in the Housing Market

De Nederlandsche Bank Working Paper No. 481
Number of pages: 38 Posted: 01 Sep 2015
Dorinth van Dijk and Marc Francke
University of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 105 (256,333)

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House prices, Liquidity, Internet search data, Funda, Panel VAR

Internet Search Behavior, Liquidity and Prices in the Housing Market

Real Estate Economics, Vol. 46, Issue 2, pp. 368-403, 2018
Number of pages: 36 Posted: 05 Jun 2018
Dorinth van Dijk and Marc Francke
University of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)
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6.

Price and Transaction Volume in the Dutch Housing Market

Tinbergen Institute Discussion Paper No. 2010-039/2
Number of pages: 56 Posted: 15 Apr 2010
Erik R. de Wit, Peter Englund and Marc Francke
University of Amsterdam - Finance Group, Swedish House of Finance and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 67 (335,117)

Abstract:

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Price-Volume Correlation, Time-on-the-Market, Vector Error Correction Model

7.

Forecasting US Commercial Property Price Indexes Using Dynamic Factor Models

Number of pages: 36 Posted: 24 Mar 2018
Alex Van de Minne, Marc Francke and David Geltner
Massachusetts Institute of Technology (MIT), University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)
Downloads 66 (340,435)

Abstract:

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Structural Time Series, EM Algorithm

8.

Comparative Analysis of Dutch House Price Indices

OFRC Working Paper No. 2009-01
Number of pages: 28 Posted: 28 Oct 2010
Marc Francke, Tessa Kuijl and Bert Kramer
University of Amsterdam - Faculty of Economics and Business (FEB), affiliation not provided to SSRN and Ortec Finance
Downloads 64 (343,184)

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Hedonic price indices, Repeat sales, Sales price appraisal ratio

9.

The Effect of Credit Conditions on the Dutch Housing Market

De Nederlandsche Bank Working Paper No. 447
Number of pages: 35 Posted: 18 Nov 2014
University of Amsterdam - Faculty of Economics and Business (FEB), Massachusetts Institute of Technology (MIT) and De Nederlandsche Bank - Research Department
Downloads 48 (392,792)
Citation 5

Abstract:

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lending standards, financial liberation, housing prices

10.

Dealing with Unobserved Heterogeneity in Hedonic Price Models

Number of pages: 41 Posted: 01 Oct 2018 Last Revised: 18 Dec 2018
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)
Downloads 36 (438,023)

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Bayesian Inference, Besag model, Commercial real estate, INLA, Leave-on-out-cross validation, Travelings Salesperson Problem

11.

When Birth or Death Hits Home: Demography and the Housing Market in Paris and Amsterdam, 1400-present

Number of pages: 53 Posted: 07 May 2019
Marc Francke and Matthijs Korevaar
University of Amsterdam - Faculty of Economics and Business (FEB) and Maastricht University - Department of Finance
Downloads 21 (512,908)
Citation 1

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house prices, rents, population, fertility

12.

What Causes the Positive Price-Turnover Correlation in European Housing Markets

Tinbergen Institute Discussion Paper 16-008/IV
Number of pages: 31 Posted: 06 Feb 2016
Martijn Dröes and Marc Francke
University of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 20 (518,662)

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price‐turnover relationship; feedback; momentum effects; credit constraints; nominal loss aversion

13.

Comparing Markets Rents from a User Cost and Reaction Model

OFRC Working Paper Series No. 2010-03
Number of pages: 20 Posted: 25 Oct 2010
Marc Francke
University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 17 (536,175)
Citation 1

Abstract:

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Social housing, User Cost

14.

Land, Structure and Depreciation

Real Estate Economics, Vol. 45, Issue 2, pp. 415-451, 2017
Number of pages: 37 Posted: 19 Apr 2017
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)
Downloads 1 (648,128)
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15.

What Causes the Positive Price-Turnover Correlation in European Housing Markets?

Journal of Real Estate Finance and Economics, Vol. 57, No. 4, 2018
Posted: 20 Nov 2018
Martijn Dröes and Marc Francke
University of Amsterdam and University of Amsterdam - Faculty of Economics and Business (FEB)

Abstract:

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price-turnover relationship; feedback; momentum effects; credit constraints; nominal loss aversion

16.

The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices

Journal of Real Estate Finance and Economics, Vol. 55, No. 4, 2017
Posted: 27 Nov 2017
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)

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commercial real estate; Residential real estate; property price indices; Thin markets; Bayesian inference; Kalman filter; State space models

17.

Land, Structure & Depreciation

Real Estate Economics, Forthcoming
Posted: 08 Jan 2015
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)

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Hedonic Price Model, House prices, Maintenance

18.

Repeat Sales Index for Thin Markets: A Structural Time Series Approach

Journal of Real Estate Finance and Economics, Vol. 41, No. 1, 2010
Posted: 10 Feb 2010
Marc Francke
University of Amsterdam - Faculty of Economics and Business (FEB)

Abstract:

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House Prices, Kalman Filter, Signal-Extraction, Smoothing, State-Space Models

19.

The Hierarchical Trend Model for Property Valuation and Local Price Indices

Journal of Real Estate Finance and Economics, Vol. 28, No. 2
Posted: 07 Oct 2003
Marc Francke and G.A. Vos
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Faculty of Economics and Business (FEB)

Abstract:

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hedonic models, Kalman filter, real estate price indices, thin markets