Purpose – The purpose of this paper is to propose and discuss practical approaches on how to address risk and uncertainty within valuation reports, particularly when there is only insufficient comparable transaction evidence available. Design/methodology/approach – A four stage approach to...

Purpose – The purpose of this paper is to provide an analysis of the dependence structure between returns from real estate investment trusts (REITS) and a stock market index. Further, the aim is to illustrate how copula approaches can be applied to model the complex dependence structure...

Purpose – The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia‐Pacific. The paper also examines excess comovement between the considered national REIT markets on the...

In this comprehensive empirical study we critically evaluate the use of forecast averaging in the context of electricity prices. We apply seven averaging and one selection scheme and perform a backtesting analysis on day-ahead electricity prices in three major European and US markets. Our...

The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation Index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a...

An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, estimation routines for the long-term and short-term seasonal pattern are usually quite sensitive to extreme observations,...

This paper explores the relationship between currency futures and realised spot rates for the Indian rupee US dollar exchange rate. Using futures contracts with maturities of one, two and three months, we examine the unbiasedness of futures quotes as a predictor of the future spot exchange rate...