{"id":3401,"date":"2014-07-15T15:52:59","date_gmt":"2014-07-15T14:52:59","guid":{"rendered":"http:\/\/blogs.kent.ac.uk\/kbs-news-events\/?p=3401"},"modified":"2022-02-22T21:23:01","modified_gmt":"2022-02-22T21:23:01","slug":"forward-futures-price-differences-in-the-uk-commercial-property-market-arbitrage-and-marking-to-model-explanations","status":"publish","type":"post","link":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/2014\/07\/forward-futures-price-differences-in-the-uk-commercial-property-market-arbitrage-and-marking-to-model-explanations\/","title":{"rendered":"Forward futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations"},"content":{"rendered":"<p>In this paper by a research team including <a href=\"http:\/\/www.kent.ac.uk\/kbs\/profiles\/staff\/stanescu_silvia.html\">Dr Silvia Stanescu<\/a> and <a href=\"http:\/\/www.kent.ac.uk\/kbs\/profiles\/staff\/tunaru_radu.html\">Professor Radu Tunaru<\/a> of Kent Business School and collaborators, 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.<\/p>\n<p>This research was published in the July 2014 issue of the <a href=\"http:\/\/www.sciencedirect.com\/science\/article\/pii\/S1057521914000842\">International Review of Financial Analysis<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>In this paper by a research team including Dr Silvia Stanescu and Professor Radu Tunaru of Kent Business School and collaborators, the differences between forward &hellip; <a href=\"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/2014\/07\/forward-futures-price-differences-in-the-uk-commercial-property-market-arbitrage-and-marking-to-model-explanations\/\">Read&nbsp;more<\/a><\/p>\n","protected":false},"author":2414,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[124],"tags":[19171,261682],"_links":{"self":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts\/3401"}],"collection":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/users\/2414"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/comments?post=3401"}],"version-history":[{"count":2,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts\/3401\/revisions"}],"predecessor-version":[{"id":3405,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/posts\/3401\/revisions\/3405"}],"wp:attachment":[{"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/media?parent=3401"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/categories?post=3401"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blogs.kent.ac.uk\/kbs-news-events\/wp-json\/wp\/v2\/tags?post=3401"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}