UNUD Open Repository

UNUD Open Repository provides access and discovery to the University of Udayana publications and digital collections. It contains digitized and digital version of theses, dissertations, research reports, and articles produced by academic communities in this university.

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

Made Reina Candradewi, S.E., M.Sc., Made Reina Candradewi (2012) Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market. Kent Business School Working Paper Series, 2012. ISSN 1748-7595

[img] Archive
9dbdca83e81d8149d6071c4729f4c562.pdf

Download (1MB)

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: 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/4831

Actions (login required)

View Item View Item