EN 
IN
Journal article
Forward-futures price differences in the UK commercial property market Arbitrage and marking-to-model explanations
Volume : 34 Nomor : 16 Published : 2014, July
International Review of Financial Analysis
Abstrak
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.