Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084878 | International Review of Financial Analysis | 2014 | 12 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Silvia Stanescu, Radu Tunaru, Made Reina Candradewi,