Open AccessIncluding More Information Content to Enhance the Value at Risk Estimation for Real Estate Investment Trusts
Author(s) -
Jin-Ray Lu,
C. C. Hwang,
YiChun Chen,
Chu-Ting Wen
Publication year - 2013
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v4n3p25
Subject(s) - real estate investment trust , real estate , value at risk , estimation , asset (computer security) , econometrics , investment (military) , value (mathematics) , generalized method of moments , business , economics , actuarial science , financial economics , risk management , finance , statistics , computer science , mathematics , law , computer security , management , politics , political science , panel data
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