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Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations

Stanescu, Silvia, Tunaru, Radu, Candradewi, Made Reina (2014) Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations. International Review of Financial Analysis, 34 . pp. 177-188. ISSN 1057-5219. (doi:10.1016/j.irfa.2014.05.012) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:42024)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1016/j.irfa.2014.05.012

Abstract

In this paper the differences between forward and futures prices for the UK commercial property market are analyzed, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically significant over the study period. Further analysis considers the modeling of this difference using mean-reverting models. The proposed models are then estimated with a number of alternative estimation methods and second stage statistical tests are implemented in order to decide which model and estimation method best represent the data.

Item Type: Article
DOI/Identification number: 10.1016/j.irfa.2014.05.012
Uncontrolled keywords: Property Total return swaps and futures; Panel data; Mean-reversion; Markov Chain Monte Carlo
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Silvia Stanescu
Date Deposited: 29 Jul 2014 16:39 UTC
Last Modified: 17 Aug 2022 10:57 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/42024 (The current URI for this page, for reference purposes)

University of Kent Author Information

Stanescu, Silvia.

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Tunaru, Radu.

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