Skip to main content

Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market

Stanescu, Silvia and Tunaru, Radu and Candradewi, Made Reina (2012) Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market. Working paper. University of Kent 269. (doi:269) (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)

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. (Contact us about this Publication)
Official URL
http://www.kent.ac.uk/kbs/documents/res/working-pa...

Abstract

The paper analyses the differences between forward and futures prices for the UK commercial property market, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically significant. Further analysis considers the modelling 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: Monograph (Working paper)
DOI/Identification number: 269
Uncontrolled keywords: property derivatives, panel data, mean-reversion, martingale estimation, MCMC
Subjects: H Social Sciences
H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Cathy Norman
Date Deposited: 07 Feb 2013 11:29 UTC
Last Modified: 29 May 2019 09:59 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/33176 (The current URI for this page, for reference purposes)
  • Depositors only (login required):