Eres : Digital Library : Works

Paper eres2011_182:
Forward Curve Dynamics in the UK Real Estate Market

id eres2011_182
authors Drouhin, Pierre Arnaud; Simon, Arnaud
year 2011
title Forward Curve Dynamics in the UK Real Estate Market
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary The purpose of this paper is to investigate the factor structure of the real estate forward curve dynamics. Four years of price data on the UK Investment Property Databank (IPD) Total Return Swap All Property are analyzed. The choice of the UK market is justified by the fact that this market is the most mature all over the world. The forward curves are derived using a bootstrap method; a seasonal Principal Component Analysis (PCA) is used to reveal their volatility structure. Dynamics of the forward curve are important for practitioners pricing and hedging derivatives contracts. The factor structure, in real estate forward curves, is more complex than found in many other studies relative to commodities, securities or bonds. Possible reasons for this phenomenon are discussed.
keywords real estate swap, forward curve, appraisal based index, principal component analysis
series ERES:conference
discussion No discussions. Post discussion ...
session E6: Risk & Portfolio Management
last changed 2011/06/23 16:27
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