Improved detection of rare-event risk of a portfolio with US REITs
Leh-Chyan So and Jun-Yang Yu
| Year of publication: |
2015
|
|---|---|
| Authors: | So, Leh-Chyan ; Yu, Jun-Yang |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 10.2015, 2, p. 1-25
|
| Subject: | REITs | copula | GARCH | VaR | Immobilienfonds | Real estate fund | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Risikomaß | Risk measure | USA | United States | Kapitaleinkommen | Capital income | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011408574