It is well known that returns on foreign exchange rates are not normal and tend to have fat-tailed distributions. Although the precise magnitude of the tail-fatness is crucial for applications such as risk analysis, little consensus exists in this respect due to estimation problems. In this...

Commercial real estate represents a significant fraction of total U.S. wealth, but its risk and returns at the property level are largely unknown. This paper utilizes detailed cash flow information of 2,845 commercial properties acquired for about $89 billion by institutional investors of NCREIF...

This paper introduces a generalizable method to estimate reduced form risk decompositions at daily and intraday frequencies applied to CMBX. We estimate partitions for the risks of default, liquidity, excess liquidity, and interest rate volatility at daily and intraday frequencies. Our new...

I compare the performance of the index-based time series approach and the cross-sectional approach in estimating factor loadings of non-traded assets, and show that the latter likely provides less biased and more efficient estimates. I then use the cross-sectional approach to estimate the...