Regime shifts in ex post UK commercial property risk premiums
Using a Markov Switching Model, the hypothesis that ex post commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each point...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
E and FN Spon
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/15286 |