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

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

  • Ortec Finance

    • Email
    • Tel: + 31 20 7009 700
    • Fax: + 31 20 7009 701
SCHOLARLY PAPERS

29

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54

CROSSREF CITATIONS

25

Scholarly Papers (29)

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1.

Buy-to-Live vs. Buy-to-Let: The Impact of Real Estate Investors on Housing Costs and Neighborhoods

Number of pages: 47 Posted: 25 Jun 2023
Marc Francke, Lianne Hans, Matthijs Korevaar and Sjoerd van Bekkum
University of Amsterdam - Faculty of Economics and Business (FEB), Kadaster, Erasmus School of Economics and Erasmus University
Downloads 2,764 (9,439)

Abstract:

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investors, house prices, rents, neighborhoods, gentrification

2.

Housing Markets in a Pandemic: Evidence from Historical Outbreaks

Number of pages: 54 Posted: 07 Apr 2020 Last Revised: 27 Jan 2021
Marc Francke and Matthijs Korevaar
University of Amsterdam - Faculty of Economics and Business (FEB) and Erasmus School of Economics
Downloads 2,621 (10,285)
Citation 38

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pandemics, housing markets, asset prices, mortality

3.

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 606 (86,319)
Citation 7

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

4.

Baby Booms and Asset Booms: Demographic Change and the Housing Market

Number of pages: 77 Posted: 07 May 2019 Last Revised: 17 Jul 2024
Marc Francke and Matthijs Korevaar
University of Amsterdam - Faculty of Economics and Business (FEB) and Erasmus School of Economics
Downloads 447 (125,386)
Citation 1

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house prices, portfolio choice, demographic structure, return predictability

5.

Revisions in Granular Repeat Sales Indices

Number of pages: 46 Posted: 12 Aug 2017
Marc Francke, David Geltner, Alex Van de Minne and Bob White
University of Amsterdam - Faculty of Economics and Business (FEB), Massachusetts Institute of Technology (MIT), University of Connecticut - School of Business and Real Capital Analytics (RCA)
Downloads 366 (157,548)
Citation 4

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

6.

Risk-Neutral Valuation of Real Estate Derivatives

Downloads 292 (201,881)

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
David van Bragt, Marc Francke, Bodine Kramer and Antoon Pelsser
Ortec Finance, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam and Maastricht University
Downloads 292 (200,586)

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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
David van Bragt, Marc Francke, Bert Kramer and Antoon Pelsser
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

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
University of Connecticut - School of Business, University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)
Downloads 286 (204,849)
Citation 1

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Structural Time Series, EM Algorithm

8.

A Machine Learning Approach to Price Indices: Applications in Real Estate

Number of pages: 30 Posted: 27 Oct 2020
Felipe Dutra Calainho, Alex Van de Minne and Marc Francke
University of Amsterdam, Faculty of Economics and Business (FEB), Students, University of Connecticut - School of Business and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 210 (276,925)
Citation 3

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real estate price indexes, machine learning, AVMs

9.

Daily Appraisal of Commercial Real Estate A New Mixed Frequency Approach

University of Connecticut School of Business Research Paper No. 21-05
Number of pages: 39 Posted: 15 Mar 2021 Last Revised: 07 Apr 2021
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Connecticut - School of Business
Downloads 176 (324,883)
Citation 5

Abstract:

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Index Revision, Listed Markets, Price Discovery, Price Indices, Private Markets, REITs, Repeat Sales Model

10.

Combining Algorithmic and Stochastic Data Models: Application to Commercial Real Estate Prices

University of Connecticut School of Business Research Paper No. 23-06
Number of pages: 46 Posted: 06 Feb 2023 Last Revised: 13 Apr 2023
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Connecticut - School of Business
Downloads 161 (351,058)

Abstract:

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Neural Network, MCMC, Prediction, Structural Time Series

11.

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
De Nederlandsche Bank and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 150 (372,282)

Abstract:

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

12.

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 147 (378,534)
Citation 5

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

13.

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 120 (442,865)
Citation 4

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

14.

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 University of Connecticut - School of Business
Downloads 118 (448,386)
Citation 3

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

15.

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
Marc Francke, Alex Van de Minne and Johan Verbruggen
University of Amsterdam - Faculty of Economics and Business (FEB), University of Connecticut - School of Business and De Nederlandsche Bank - Research Department
Downloads 114 (460,275)
Citation 6

Abstract:

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lending standards, financial liberation, housing prices

16.

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 113 (463,290)

Abstract:

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Hedonic price indices, Repeat sales, Sales price appraisal ratio

17.

Combining Algorithmic and Stochastic Data Models

MIT Center for Real Estate Research Paper No. 23/05
Number of pages: 47 Posted: 29 Mar 2023
Marc Francke and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Connecticut - School of Business
Downloads 99 (512,372)

Abstract:

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Neural Network, MCMC, Prediction, Structural Time Series

18.

Deal or no Deal? The Time-on-Market, Time-to-Close, and Residential Transaction Prices

Downloads 80 (581,299)

Deal or no Deal? The Time-on-Market, Time-to-Close, and Residential Transaction Prices

Number of pages: 36 Posted: 06 Apr 2022
Marc Francke, Martijn Dröes and Yumei Wang
University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam and University of Amsterdam
Downloads 63 (673,064)

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legal date of transfer of ownership, real estate, asset price of physical assets, seemingly unrelated regression, micro-economic model

Deal or No Deal? The Time-on-Market, Time-to-Close, and Residential Transaction Prices

Number of pages: 61 Posted: 20 Apr 2023
Marc Francke, Yumei Wang and Martijn Dröes
University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam and University of Amsterdam
Downloads 17 (1,047,091)

Abstract:

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transfer of ownership, residential real estate

19.

A Spatial Dynamic Factor Repeat Sales Model for Real Estate

Number of pages: 32 Posted: 29 Oct 2022
Marc Francke, Lyndsey Rolheiser and Alex Van de Minne
University of Amsterdam - Faculty of Economics and Business (FEB), York University - Schulich School of Business and University of Connecticut - School of Business
Downloads 68 (635,647)

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structural time series model, transaction price indexes, travelings sales person problem, granular markets

20.

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 40 (803,493)
Citation 2

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

21.

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 40 (803,493)
Citation 1

Abstract:

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Social housing, User Cost

22.

Creating Model-Agnostic Prediction Intervals

Number of pages: 30 Posted: 26 Jun 2024
Marc Francke, Afrasiab Kadhum and David Kroon
University of Amsterdam - Faculty of Economics and Business (FEB), Ortec Finance and Ortec Finance
Downloads 36 (834,127)

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Conformal Prediction, Machine Learning, Quantile Regression. JEL classification: C11, C14, C15, R32

23.

The Illiquidity Premium of Non-listed Real Estate Investment Funds

Number of pages: 59 Posted: 26 Aug 2024
Marc Francke, Patrick Tuijp and Yumei Wang
University of Amsterdam - Faculty of Economics and Business (FEB), Ortec Finance and University of Amsterdam
Downloads 10 (1,088,268)

Abstract:

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real estate, non-listed funds, fund-level data, liquidity premium

24.

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)

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

25.

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 University of Connecticut - School of Business

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

26.

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 University of Connecticut - School of Business

Abstract:

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Hedonic Price Model, House prices, Maintenance

27.

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)

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

28.

The Hierarchical Trend Model for Property Valuation and Local Price Indices

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)

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

29.

The role of the experienced return in the decision to sell commercial real estate

Number of pages: 38
Willem Vlaming and Marc Francke
University of Amsterdam Business School and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 0

Abstract:

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holding period, probability of sale, repeat sales model, property price index JEL classification: C11, C31, R32