Prof. dr. M.K. (Marc) Francke
Faculteit Economie en Bedrijfskunde
Sectie Finance
Bezoekadres
- Plantage Muidergracht 12
- Kamernummer: M3.10
Postadres
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Postbus 15953
1001 NL Amsterdam
Contactgegevens
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Profile
Positions
Professor Real Estate Analytics
Research interests
Real Estate, Valuation,Real Estate Price Indexes, Real Estate Price Dynamics, Mass Appraisal, Housing Markets, Commercial Real Estate, Econometrics, Time Series, State space models, Kalman filter, Machine learning, Fintech
Dissertation title
Marginal Likelihood in State-space models. Theory and Applications
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Teaching
Teaching activities
Current year
Advanced Real Estate Valuation
Real Estate Valuation and Investment
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Other activities
Head of Real Estate Research at Ortec Finance Research Center
- Links
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Publicaties
2024
- Francke, M., Rolheiser, L., & Van de Minne, A. (2024). Estimating Census Tract House Price Indexes: A New Spatial Dynamic Factor Approach. Journal of Real Estate Finance and Economics. Advance online publication. https://doi.org/10.1007/s11146-023-09957-w
2022
- Dutra Calainho, F., Van de Minne, A., & Francke, M. K. (2022). A Machine Learning Approach to Price Indices: Applications in Commercial Real Estate. Journal of Real Estate Finance and Economics. Advance online publication. https://doi.org/10.1007/s11146-022-09893-1
- Francke, M., & Van de Minne, A. (2022). Daily appraisal of commercial real estate a new mixed frequency approach. Real Estate Economics, 50(5), 1257-1281. https://doi.org/10.1111/1540-6229.12378 [details]
van de Minne, A., Francke, M., & Geltner, D. (2022). Forecasting US Commercial Property Price Indexes Using Dynamic Factor Models. Journal of Real Estate Research, 44(1), 29-55. Advance online publication. https://doi.org/10.1080/08965803.2020.1840802 [details]
2021
- Francke, M., & Korevaar, M. (2021). Housing markets in a pandemic: Evidence from historical outbreaks. Journal of Urban Economics, 123, Article 103333. https://doi.org/10.1016/j.jue.2021.103333 [details]
- Francke, M., & van de Minne, A. (2021). Modeling unobserved heterogeneity in hedonic price models. Real Estate Economics, 49(4), 1315-1339. Advance online publication. https://doi.org/10.1111/1540-6229.12320 [details]
- Leib, M., Köbis, N. C., Francke, M., Shalvi, S., & Roskes, M. (2021). Precision in a Seller’s Market: Round Asking Prices Lead to Higher Counteroffers and Selling Prices. Management Science, 67(2), 1048-1055. Advance online publication. https://doi.org/10.1287/mnsc.2019.3570 [details]
- van Dijk, D. W., & Francke, M. K. (2021). Commonalities in Private Commercial Real Estate Market Liquidity and Price Index Returns. Journal of Real Estate Finance and Economics. Advance online publication. https://doi.org/10.1007/s11146-021-09839-z
- van der Vlist, A. J., Francke, M. K., & Schoenmaker, D. A. J. (2021). Agglomeration Economies and Capitalization Rates: Evidence from the Dutch Real Estate Office Market. Journal of Real Estate Finance and Economics. Advance online publication. https://doi.org/10.1007/s11146-021-09881-x
2020
- van de Minne, A., Francke, M., Geltner, D., & White, R. (2020). Using Revisions as a Measure of Price Index Quality in Repeat-Sales Models. Journal of Real Estate Finance and Economics, 60(4), 514-553. Advance online publication. https://doi.org/10.1007/s11146-018-9692-x [details]
2018
- Dröes, M. I., & Francke, M. K. (2018). What Causes the Positive Price-Turnover Correlation in European Housing Markets? Journal of Real Estate Finance and Economics, 57(4), 618-646. Advance online publication. https://doi.org/10.1007/s11146-017-9602-7 [details]
- van Dijk, D. W., & Francke, M. K. (2018). Internet search behavior, liquidity, and prices in the housing market. Real Estate Economics, 46(2), 368-403. Advance online publication. https://doi.org/10.1111/1540-6229.12187 [details]
2017
- Francke, M. K., & van de Minne, A. (2017). The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices. Journal of Real Estate Finance and Economics, 55(4), 511-532. https://doi.org/10.1007/s11146-017-9632-1 [details]
- Francke, M. K., & van de Minne, A. M. (2017). Land, structure and depreciation. Real Estate Economics, 45(2), 415-451. Advance online publication. https://doi.org/10.1111/1540-6229.12146 [details]
2015
- van Bragt, D., Francke, M. K., Singor, S. N., & Pelsser, A. (2015). Risk-neutral valuation of real estate derivatives. Journal of Derivatives, 23(1), 89-110. https://doi.org/10.3905/jod.2015.23.1.089 [details]
- van der Windt, N., Francke, M., de Vries, P., & van Dalen, P. (2015). Woningprijzen koppelen zich regelmatig los van fundamenten: meer inzicht in de woningprijsdynamiek. Real Estate Research Quarterly, 14(2), 4-11. https://static.basenet.nl/cms/104468/rerq/PNL15-RERQ02%20compleet.pdf [details]
2014
- Francke, M. K., & Schilder, F. P. W. (2014). Losses on Dutch residential mortgage insurances. Journal of European Real Estate Research, 7(3), 307-326. https://doi.org/10.1108/JERER-01-2014-0008 [details]
- Francke, M., van Gool, P., & van de Minne, A. (2014). Prijsindex voor commercieel vastgoed: gebaseerd op beleggingstransacties. Real Estate Research Quarterly, 13(4), 47-58. http://www.rerq.info/publicaties/2014%20december%20Market%20Dynamics%201.pdf [details]
2013
- Constantinescu, M., & Francke, M. (2013). The historical development of the Swiss rental market: A new price index. Journal of Housing Economics, 22(2), 135-145. https://doi.org/10.1016/j.jhe.2013.02.004 [details]
- Francke, M., & van de Minne, A. (2013). Starters slaan hun slag! woningmarkt in de uitverkoop. Real Estate Research Quarterly, 12(4), 33-39. http://www.rerq.info/publicaties/2013%20December%20Vastgoedtaxaties%20.pdf [details]
- de Wit, E. R., Englund, P., & Francke, M. K. (2013). Price and transaction volume in the Dutch housing market. Regional Science and Urban Economics, 43(2), 220-241. https://doi.org/10.1016/j.regsciurbeco.2012.07.002 [details]
2012
2010
- Francke, M. K. (2010). How bloated is the Dutch housing market? a summary of my inaugural lecture. Real Estate Research Quarterly, 9(1), 48-54. http://static.basenet.nl/cms//104468///rerq/2010-eerste-nummer.pdf [details]
- Francke, M. K. (2010). Repeat sales index for thin markets: a structural time series approach. Journal of Real Estate Finance and Economics, 41(1), 24-52. https://doi.org/10.1007/s11146-009-9203-1 [details]
- Francke, M. K., Koopman, S. J., & de Vos, A. F. (2010). Likelihood functions for state space models with diffuse initial conditions. Journal of Time Series Analysis, 31(6), 407-414. https://doi.org/10.1111/j.1467-9892.2010.00673.x [details]
2009
2007
- Francke, M. K., & de Vos, A. F. (2007). Marginal Likelihood and Unit Roots. Journal of Econometrics, 137(2), 708-728. https://doi.org/10.1016/j.jeconom.2005.10.005
2005
- Francke, M. K. (2005). Taxeren van courant onroerend goed zonder referentieverkopen. Property Research Quarterly, 5, 28-35. http://www.ortec-finance.nl/~/media/Files/Publications/Taxeren%20van%20courant.ashx
2000
- Francke, M. K., & de Vos, A. F. (2000). Efficient Computation of Hierarchical Trends. Journal of Business & Economic Statistics, 18(1), 51-57. https://doi.org/10.2307/1392136
2010
- de Wit, E. R., Englund, P., & Francke, M. (2010). Price and transaction volume in the Dutch housing market. (Tinbergen Institute Discussion Paper; No. TI 2010-039/2). Tinbergen Institute. http://www.tinbergen.nl/ti-publications/discussion-papers.php/discussion-papers.php?paper=1589 [details]
2009
- Francke, M. K., Kuijl, T., & Kramer, B. (2009). A comparative analysis of Dutch house price indices. In Proceedings of the 16th European Real Estate Society Conference (ERES 2009) http://www.eres2009.com/papers/2EKramer_etal.pdf [details]
2008
- Francke, M. K. (2008). The hierarchical trend model. In T. Kauko, & M. d'Amato (Eds.), Mass appraisal methods: An international perspective for property valuers (pp. 164-180). (Real estate issues). Wiley-Blackwell. https://doi.org/10.1002/9781444301021.ch8 [details]
2002
- Francke, M. K., & Vos, G. A. (2002). The Hierarchical Trend Model for property valuation and local price indices. Journal of Real Estate Finance and Economics, 28, 179-208. https://doi.org/10.1023/B:REAL.0000011153.04496.42 [details]
2000
- Vos, G. A., & Francke, M. K. (2000). Een gestandaardiseerde NVM prijsindex voor de Regionale Koopwoningmarkt. Amsterdam: SBV / Universiteit van Amsterdam. [details]
- Vos, G. A., & Francke, M. K. (2000). Een hedonische huizenprijsindex voor de Regio Breda. Amsterdam: SBV / Universiteit van Amsterdam. [details]
- Vos, G. A., & Francke, M. K. (2000). Standardised Price Indices for the Regional Housing Market. In 7th ERES Real Estate Conference Proceedings (pp. 1-21). Bordeaux, France. [details]
2021
- Korevaar, M., Francke, M., & Eichholtz, P. (2021). Dure huizen maar geen zeepbel in Amsterdam. Economisch-Statistische Berichten, 106(4793), 32-34. https://esb.nu/esb/20060698/dure-huizen-maar-geen-zeepbel-in-amsterdam [details]
- Kroon, D., & Francke, M. (2021). Automated valuation models: Exploration of a machine learning approach. Real Estate Research Quarterly, 20(2), 17-26. https://www.vogon.nl/artikelen/wonen/automated-valuation-models-exploration-of-a-machine-learning-approach# [details]
2020
- Hans, L., Francke, M., & de Vries, P. (2020). Opkomst particuliere investeerders op de woningmarkt. Real Estate Research Quarterly, 2020(2), 28-36. https://www.vogon.nl/artikelen/vogon-publicaties/item/download/57_d6f92ca12db0643acdfb0ddc3f2beed6 [details]
2019
- Beimer, J., & Francke, M. (2019). Out-of-Sample House Price Prediction by Hedonic Price Models and Machine Learning Algorithms. Real Estate Research Quarterly, 18(2), 13-20. https://www.vogon.nl/artikelen/vogon-publicaties/item/download/48_2b884e3a5439751e65eab159531d4237 [details]
- Francke, M., & van der Schans, M. (2019). Kopers in Amsterdam houden beperkt rekening met erfpachtbetalingen. Economisch-Statistische Berichten, 104(4780), 592-594. https://esb.nu/esb/20055913/kopers-in-amsterdam-houden-beperkt-rekening-met-erfpachtbetalingen [details]
2018
- Schaaf, M., Groenewegen, J., & Francke, M. (2018). Huizenprijzen volgen sentiment in media. Economisch-Statistische Berichten, 103(4767), 495-497. https://esb.nu/esb/20046598/huizenprijzen-volgen-sentiment-in-media [details]
2017
- Dröes, M., & Francke, M. (2017). De relatie tussen prijzen en transactievolumes in Europese woningmarkten. Real Estate Research Quarterly, 16(2), 18-26. https://static.basenet.nl/cms/104468/rerq/rerq-2017-2.pdf [details]
- Francke, M., Harleman, F., & Kosterman, W. (2017). Determinanten en dynamiek van de huren in de vrije sector. Economisch-Statistische Berichten, 102(4752), 377-379. https://esb.nu/esb/20030500/determinanten-en-dynamiek-van-huren-in-de-vrije-sector [details]
- van Dijk, D., Francke, M., & Mastrogiacomo, M. (2017). Beperking hypotheekrisico zichtbaar met loan level data. Economisch Statistische Berichten, 102(4749S), 27-31. https://esb.nu/esb/20025894/beperking-hypotheekrisico-zichtbaar-met-loan-level-data [details]
2015
- Francke, M., van de Minne, A., & Verbruggen, J. (2015). De sterke gevoeligheid van woningprijzen voor kredietvoorwaarden. Economisch-Statistische Berichten, 100(4713 & 4714), 426-429. http://www.economie.nl/artikel/de-sterke-gevoeligheid-van-woningprijzen-voor-kredietvoorwaarden [details]
2013
- Francke, M., & Schilder, F. (2013). Schade en schuld op de hypotheekmarkt. Economisch-Statistische Berichten, 98(4668), 558-560. http://www.economie.nl/artikel/schade-en-schuld-op-de-hypotheekmarkt [details]
2011
- Francke, M. (2011). Kwaliteitsbeoordeling van een model en de kenmerken. In J. M. Mes (Ed.), Syllabus VastgoedCert: hercerificering 2012: modelmatige waardebepaling (pp. 7-32). Vastgoedcert. http://www.vastgoedcert.nl/files/modFiles/mamwb%20syllabus%202012%20-%20definitief.pdf [details]
- Francke, M. (2011). Waarderingsmodellen voor de vergelijkingsmethode. In J. M. Mes (Ed.), Syllabus VastgoedCert: hercerificering 2012: modelmatige waardebepaling (pp. 33-51). Vastgoedcert. http://www.vastgoedcert.nl/files/modFiles/mamwb%20syllabus%202012%20-%20definitief.pdf [details]
2010
- Francke, M. (2010). Casametrie: De kunst van het modelleren en het voorspellen van de marktwaarde van woningen. (Oratiereeks; No. 353). Vossiuspers UvA. [details]
- Francke, M. (2010). Krimp en woningprijzen: De invloed van demografische krimp op de woningprijs. SEV. http://www.sev.nl/publicaties/publicatie.asp?code_pblc=1003 [details]
- Francke, M. (2010). A state-space model for residential real estate valuation. Aenorm, 18(68), 4-7. http://www.aenorm.eu/editions/?edt=9&art=65 [details]
- Francke, M. K. (2010). Casametrics. English summary of inaugural lecture. University of Amsterdam. http://absri.uva.nl/research-programmes/content/finance-group/real-estate-finance/other-publications/other-publications.html
- Francke, M. K. (2010). Modelmatige bepaling van de waarde in het economische verkeer. In P. J. M. de Graaff-Saarloos, & I. Vermeulen (Eds.), WOZ-taxatie: Editie 2010 (pp. 187-198). (Zakboekje WOZ-taxaties). Reed Elsevier. [details]
2009
- Francke, M. K. (2009). Modelmatige bepaling van de waarde in het economisch verkeer. In P. J. M. Saarloos (Ed.), Zakboekje WOZ-taxaties. - 4e dr. (pp. 192-199). Reed Business. [details]
2008
- Francke, M. K. (2008). Modelmatige waardebepaling. In P. J. J. M. van den Bosch, & J. M. Monsma (Eds.), WOZ-praktijkpakket Reed Business. http://www.elsevier-woz.nl [details]
- Saarloos, P. J. M., & Francke, M. K. (2008). Onderbouwing taxatie. In P. J. J. M. van den Bosch, & J. M. Monsma (Eds.), WOZ-praktijk pakket Reed Business. http://www.elsevier-woz.nl [details]
Mediaoptreden
- Francke, M. (15-12-2022). Stapeling van overheidsmaatregelen leidt to ruim een miljard verlies aan potentiële huur [Print] Steengoed. Stapeling van overheidsmaatregelen leidt to ruim een miljard verlies aan potentiële huur. https://www.ortecfinance.com/nl-nl/insights/blog/interview-marc-francke-over-onderzoek-waarde-effecten-maatregelen-huursector
- Francke, M. (11-10-2022). Staan straks weer een miljoen huizen onder water, net zoals tien jaar geleden? [Print] Het Financieel Dagblad. Staan straks weer een miljoen huizen onder water, net zoals tien jaar geleden?.
- Francke, M. (07-10-2022). De woningmarkt liep steeds stroever, maar prijsdalingen bleven uit, tot nu [Print] Het Financieel Dagblad. De woningmarkt liep steeds stroever, maar prijsdalingen bleven uit, tot nu.
- Francke, M. (18-05-2022). Machine learning zorgt voor democratisering van waardebepaling [Web] Blog UvA. Machine learning zorgt voor democratisering van waardebepaling. https://www.uva.nl/shared-content/faculteiten/nl/faculteit-economie-en-bedrijfskunde/nieuws/2022/05/marc-francke-machine-learning-zorgt-voor…
- Francke, M. (25-02-2022). Maakt de hogere hypotheekrente een einde aan de hysterische huizenprijzen? [Print] Het Financieele Dagblad. Maakt de hogere hypotheekrente een einde aan de hysterische huizenprijzen?.
- Shalvi, S., Leib, M. & Francke, M. (11-05-2020). Huizenkopers betalen meer bij ronde vraagprijs [Web] Parool. Huizenkopers betalen meer bij ronde vraagprijs. https://www.parool.nl/nieuws/huizenkopers-betalen-meer-bij-ronde-vraagprijs~bb6c0ce6/?referer=https%3A%2F%2Fwww.google.com%2F
- Shalvi, S., Leib, M. & Francke, M. (11-05-2020). huizenkopers betalen meer bij ronde vraagprijs [Web] AD. huizenkopers betalen meer bij ronde vraagprijs. http://ad.nl/wonen/huizenkopers-betalen-meer-bij-ronde-vraagprijs~ab6c0ce6/
- Shalvi, S., Leib, M. & Francke, M. (07-05-2020). meer geld voor je huis neem een ronde vraagprijs [Web] Telegraaf. meer geld voor je huis neem een ronde vraagprijs. https://www.telegraaf.nl/financieel/2008719892/meer-geld-voor-je-huis-neem-een-ronde-vraagprijs
Andere
- Dröes, M. (organiser) & Francke, M. K. (organiser) (3-7-2017 - 5-7-2017). AREUEA international (organising a conference, workshop, ...).
2022
- Dröes, M. I., Francke, M. K., & Wang, Y. (2022). Deal or no Deal? The Time-on-Market, Time-to-Close, and Residential Transaction Prices. SSRN. https://doi.org/10.2139/ssrn.4066448, https://doi.org/10.2139/ssrn.4424669
- Francke, M. K. (2022). A Spatial Dynamic Factor Repeat Sales Model for Real Estate. SSRN. https://doi.org/10.2139/ssrn.4260650
- Francke, M. K. (2022). Baby Booms and Asset Booms: Demographic Change and the Housing Market. SSRN. https://doi.org/10.2139/ssrn.3368036
2016
- Dröes, M. I., & Francke, M. K. (2016). What Causes the Positive Price-Turnover Correlation in European Housing Markets? (Tinbergen Institute Discussion Paper; No. 2016-008/IV). Tinbergen Institute. https://doi.org/10.2139/ssrn.2728323 [details]
2015
- van Dijk, D., & Francke, M. (2015). Internet search behavior, liquidity and prices in the housing market. (DNB Working Paper; No. 481). De Nederlandsche Bank. https://doi.org/10.2139/ssrn.2654170 [details]
2013
- Francke, M., & van de Minne, A. (2013). Land, Structure & Depreciation. University of Amsterdam. http://www1.feb.uva.nl/pp/bin/1316fulltext.pdf [details]
- Francke, M., & van de Minne, A. (2013). The effects of demographic changes and supply constraints on Dutch housing prices. (ASRE Research Papers; No. 2013-07). Amsterdam School of Real Estate, Universiteit van Amsterdam. http://www.vastgoedkennis.nl/docs/publicaties/ASRE_research_paper_13_07_Working_paper_effects_demographic.pdf [details]
2012
- Constantinescu, M., & Francke, M. (2012). The historical development of the Swiss rental market: a new price index. (OFRC Applied Paper; No. 2012-02). Ortec Finance Research Center. http://nl.ortec-finance.com/~/media/Files/Research/Working%20Papers/Applied/Public/OFRC%20Applied%202012-02.ashx [details]
2011
- Francke, M. K., & Constantinescu, M. (2011). The historical development of the Swiss rental market: A new price index. University of Amsterdam.
2010
- Francke, M. K. (2010). Comparing markets rents from a user cost and reaction model. (OFRC working paper series. Applied working paper; No. 2010-03). Ortec Finance Research Center. http://www.ortec-finance.com/~/media/Files/pdf/working%20papers/OFRC%20Applied%202010-03.ashx [details]
2009
- Francke, M. K., & de Vos, A. F. (2009). An efficiency correction model. University of Amsterdam Business School, Faculty of Economics and Business. http://www1.fee.uva.nl/pp/bin/1014fulltext.pdf [details]
- Francke, M. K., Vujic, S., & Vos, G. A. (2009). Evaluation of the house price models using an ECM approach: the case of the Netherlands. Faculteit Economie en Bedrijfskunde. [details]
- Kramer, B., Kuijl, T., & Francke, M. (2009). The impact of house price index specification levels on the risk profile of housing corporations. (OCFR Working Paper Series; No. 2009-02). Faculteit Economie en Bedrijfskunde. http://www.eres2009.com/papers/6EKramer.pdf [details]
- de Wit, E. R., Englund, K. G. P., & Francke, M. K. (2009). Price and trancation volume in Dutch housing market. Faculteit Economie en Bedrijfskunde.
- van Bragt, D., Francke, M., Kramer, B., & Pelsser, A. (2009). Risk-neutral valuation of real estate derivatives. (OFRC working paper series. Technical paper; No. 2009-02). Ortec Finance Research Center. http://www1.feb.uva.nl/pp/bin/1066fulltext.pdf [details]
2008
- Francke, M. K., Koopmans, S. J., & de Vos, A. F. (2008). Likelihood functions for state space models with diffuse initial conditions. (Tinbergen Institute Discussion Paper; No. 08-040/4). Faculteit Economie en Bedrijfskunde. http://www.tinbergen.nl/ti-publications/discussion-papers.php?paper=971 [details]
- de Vos, A. F., & Francke, M. K. (2008). Bayesian unit root tests and marginal likelihood. Department of Econometrics and Operation Research. http://www1.fee.uva.nl/pp/bin/1015fulltext.pdf [details]
2007
- Francke, M. K., & de Vos, A. F. (2007). Marginal Likelihood based Tests on Cointegration in the Engle-Granger model. ESEM Conference Budapest. http://www.eea-esem.com/files/papers/EEA-ESEM/2007/1981/coint20070215.pdf
This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list. -
Nevenwerkzaamheden
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Ortec Finance
Head of Real Estate Research -
Amsterdam School of Real Estate
ASRE scientific advisory board
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Ortec Finance
van de Minne, A., Francke, M., & Geltner, D. (2022). Forecasting US Commercial Property Price Indexes Using Dynamic Factor Models. Journal of Real Estate Research, 44(1), 29-55. Advance online publication.