文章基本信息

标题：Including More Information Content to Enhance the Value at Risk Estimation for Real Estate Investment Trusts
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作者：Jin-Ray Lu ; Chiang-Chang Hwang ; Yi-Chun Chen 等
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2013
卷号：4
期号：3
页码：p25
语种：English
出版社：Sciedu Press
摘要：This article designs two improved methods to estimate the value at risk (VaR) for US real estate investment trusts (REITs) and specifically considers some higher moments of asset returns and composite methods which are combined with existing models. Our empirical results indicate that accounting for higher moments of REITs returns does not produce better VaR estimates. On the contrary, the composite methods can considerably enhance the REIT VaR estimation. These findings indicate that the information provided by the composite methods is better than that provided by considering higher moments.