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

Silvia Stanescu, Radu Tunaru and Made Reina Candradewi

International Review of Financial Analysis, 2014, vol. 34, issue C, 177-188

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.

Keywords: Total return swaps and futures; Panel data; Mean-reversion; Markov Chain Monte Carlo (search for similar items in EconPapers)
JEL-codes: C12 C33 G13 G19 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:34:y:2014:i:c:p:177-188

DOI: 10.1016/j.irfa.2014.05.012

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