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) (KAR id:33176)
| 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://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: | Reports and Papers (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: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
| Depositing User: | Catherine Norman |
| Date Deposited: | 07 Feb 2013 11:29 UTC |
| Last Modified: | 16 Nov 2021 10:10 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/33176 (The current URI for this page, for reference purposes) |
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