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

22

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SSRN CITATIONS
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Top 17,632

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31

CROSSREF CITATIONS

31

Scholarly Papers (22)

1.

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 2,232 (7,986)
Citation 9

Abstract:

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pandemics, housing markets, asset prices, mortality

2.

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 351 (105,535)
Citation 6

Abstract:

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

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), University of Connecticut - Department of Finance and Real Capital Analytics (RCA)
Downloads 290 (129,790)
Citation 4

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

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 246 (152,888)

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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

5.

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 - Department of Finance, University of Amsterdam - Faculty of Economics and Business (FEB) and Massachusetts Institute of Technology (MIT)
Downloads 163 (223,295)
Citation 1

Abstract:

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Structural Time Series, EM Algorithm

6.

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

Number of pages: 52 Posted: 07 May 2019 Last Revised: 15 Dec 2020
Marc Francke and Matthijs Korevaar
University of Amsterdam - Faculty of Economics and Business (FEB) and Erasmus School of Economics
Downloads 122 (280,976)
Citation 1

Abstract:

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house prices, fertility, portfolio choice, demographic structure

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 119 (287,465)

Abstract:

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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
De Nederlandsche Bank and University of Amsterdam - Faculty of Economics and Business (FEB)
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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 113 (298,068)
Citation 5

Abstract:

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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 (800,938)
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9.

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 77 (378,359)
Citation 1

Abstract:

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

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 University of Connecticut - Department of Finance
Downloads 68 (405,137)
Citation 3

Abstract:

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

11.

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 68 (405,137)

Abstract:

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Hedonic price indices, Repeat sales, Sales price appraisal ratio

12.

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

Number of pages: 30 Posted: 27 Oct 2020
University of Amsterdam, Faculty of Economics and Business (FEB), Students, University of Connecticut - Department of Finance and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 67 (408,376)

Abstract:

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real estate price indexes, machine learning, AVMs

13.

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), University of Connecticut - Department of Finance and De Nederlandsche Bank - Research Department
Downloads 63 (421,575)
Citation 6

Abstract:

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lending standards, financial liberation, housing prices

14.

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 - Department of Finance
Downloads 43 (498,883)
Citation 1

Abstract:

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

15.

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 23 (608,154)
Citation 1

Abstract:

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

16.

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 18 (642,801)
Citation 1

Abstract:

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Social housing, User Cost

17.

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 University of Connecticut - Department of Finance
Downloads 1 (778,264)
Citation 5
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18.

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

19.

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 - Department of Finance

Abstract:

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

20.

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 - Department of Finance

Abstract:

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Hedonic Price Model, House prices, Maintenance

21.

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

22.

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)

Abstract:

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