This paper examines the lead-lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using ten-minutely observations from June 1996-1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The...

Although financial theory rests heavily upon the assumption that asset returns are normally distributed, value indices of commercial real estate display significant departures from normality. In this paper, we apply and compare the properties of two recently proposed regime switching models for...

This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. Our results indicate that unexpected inflation, and the interest rate term spread have explanatory power for the property market. However the...

This study models retail rents in the UK using a vector autoregressive and time series models. Two retail rent series are used, compiled by LaSalle Investment Management and CB Hillier Parker, and the emphasis is on forecasting. The results suggest that the use of the vector autoregression and...

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short...

This paper investigates whether the prices of UK equity-traded property stocks over the past fifteen years contain evidence of a speculative bubble. Speculative bubbles are generated when investors include the expectation of the future price in their information set. In the presence of...

This paper examines the performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the...

Many popular techniques for determining a securities firm's value at risk are based upon the calculation of the historical volatility of returns to the assets that comprise the portfolio, and of the correlations between them. One such approach is the J.P. Morgan RiskMetrics methodology using...

A glance along the finance shelves at any bookshop reveals a large number of books that seek to show readers how to quot;make a millionquot; or quot;beat the marketquot; with allegedly highly profitable equity trading strategies. This paper investigates whether useful trading strategies can be...

There is much evidence in the literature that the volatilities of equity returns show evidence of asymmetric responses to good and bad news. At the same time, there is evidence that the unconditional distribution of stock returns is asymmetric as well. This paper examines the effects of...