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

Made Reina Candradewi, S.E., M.Sc., Made Reina Candradewi (2014) Forward-futures price differences in the UK commercial property market Arbitrage and marking-to-model explanations. International Review of Financial Analysis, 34. ISSN 1057-5219

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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
Uncontrolled Keywords: -
Subjects: L Education > L Education (General)
Divisions: Faculty of Law, Arts and Social Sciences > School of Education
Depositing User: Mr. Repository Admin
Date Deposited: 07 Jun 2016 21:58
Last Modified: 21 Jun 2016 05:58
URI: http://erepo.unud.ac.id/id/eprint/3911

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