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

被引：2

作者：

Stanescu, Silvia ^{[1
]}

Tunaru, Radu ^{[1
]}

Candradewi, Made Reina ^{[1
]}

机构：

[1] Univ Kent, Kent Business Sch, Kent CT2 7PE, England

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2014年 / 34卷

关键词：

Total return swaps and futures; Panel data; Mean-reversion; Markov Chain Monte Carlo; REAL-ESTATE; CONTRACTS; RETURNS; ASSET;

D O I：

10.1016/j.irfa.2014.05.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：177 / 188

页数：12