Research wiki for a Markov-switching rational-expectations model of commercial real estate asset prices (Leather & Sagi). NK macro block (output gap, inflation, short rate) connected to CRE cap rates via no-arbitrage, with a Rao-Blackwellized particle filter over compound monetary-policy × wage-rigidity regimes.
Start here
- Main paper — Markov-Switching CRE Asset Pricing
- Research journal (development log)
- Design brief — global optimization pipeline
- Domain survey
Browse by section
- Papers — 37 annotated academic & industry references
- Concepts — 44 cross-paper technical concepts and methods
- Ideas — 8 research ideas (proposed / tested / failed)
- Experiments — 21 completed experiment records
- Claims — 38 testable claims with linked evidence
- Topics — 4 organizing research directions
- Foundations — 3 RL / control reference nodes
- People — 40 researcher profiles
- Summary — domain-wide survey
- Outputs — generated artifacts
Key concepts
- Markov-switching RE CRE pricing
- Exponential-quadratic asset pricing
- Coupled Riccati recursions
- Forward method (Cho–Moreno)
- Spectral-radius test for pricing operator
- Mean-square stability
- Switching Kalman filter
- No-bubble condition