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Journal article
Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market
Volume : 2012 Nomor : 269 Published : 2012, November
Kent Business School Working Paper Series
Abstrak
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.