Regime shifts in ex post UK commercial property risk premiums

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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...

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Bibliographic Details
Main Authors:	Hutchison, N., Fraser, Patricia, Adair, A., Srivatsa, R.
Format:	Journal Article
Published:	E and FN Spon 2012
Subjects:	Markov switching model ex post risk premium regime shift UK commercial property
Online Access:	http://hdl.handle.net/20.500.11937/15286

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