Lu, Jin-Ray; Hwang, Chiang-Chang; Chen, Yi-Chun; Wen, … - In: International Journal of Financial Research 4 (2013) 3, pp. 25-34
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...