SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Extreme returns and value at risk in international securitized real estate markets
14 references·1 citing·46 second hop
Extreme returns and value at risk in international securitized real estate markets (2008)Extreme returns and value at risk in inte…An Application of Extreme Value Theory for Measuring Financial Risk (2006)An Application of Extreme Val…A comparison of extreme value theory approaches for determining value at risk (2005)A comparison of extreme value…The choice of the distribution of asset returns: How extreme value theory can help? (2004)The choice of the distributio…Risk management under extreme events (2004)Risk management under extreme…An analysis of the distribution of extreme returns in the UK from 1975 to 2000 (2004)An analysis of the distributi…Investing in International Real Estate Stocks: A Review of the Literature (2003)Investing in International Re…An Extreme Value Approach to Estimating Volatility and Value at Risk* (2003)An Extreme Value Approach to …Diversification Benefits from Foreign Real Estate Investments (2002)Diversification Benefits from…Testing and comparing Value-at-Risk measures (2001)Testing and comparing Value-a…Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil (2000)Value-at-risk: Applying the e…From value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …Value-at-Risk and Extreme Returns (1998)Value-at-Risk and Extreme Ret…Calculating quantile risk measures for financial return series using extreme value theory (1998)Calculating quantile risk mea…The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2010)Volatility Spillovers, Comove…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Increasing correlations or just fat tails? (2007)Non-Normality of Market Returns: A Framework for Asset Allocation Decision Making (2009)The Impact of Terrorism on Financial Markets: An Empirical Study (2010)Estimating Tails of Probability Distributions (1987)A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)Tail-Index Estimates in Small Samples (2001)EXTREME VALUE THEORY IN FINANCE: A SURVEY (2013)Extreme-quantile tracking for financial time series (2014)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Kriging-based adaptive Importance Sampling algorithms for rare event estimation (2013)Insurability of Cyber Risk: An Empirical Analysis (2014)Tail risk and systemic risk of finance and technology (FinTech) firms (2021)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Value at risk and the cross-section of hedge fund returns (2006)Risk Measures for Hedge Funds: a Cross‐sectional Approach (2007)Price Discovery in American and British Property Markets (1995)International Evidence on Real Estate Securities as an Inflation Hedge (1997)Continental Factors in International Real Estate Returns (1998)Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets (2005)Correlation and Volatility Dynamics in International Real Estate Securities Markets (2008)Correlation structure and dynamics of international real estate securities markets: A network perspective (2015)Generalized autoregressive conditional heteroskedasticity (1986)Backtesting for risk-based regulatory capital (2003)Comparison of Volatility Measures: a Risk Management Perspective (2009)Evaluating Value-at-Risk Models via Quantile Regression (2010)Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)The Risk and Return Profile of Asian Real Estate Stocks (2006)Global Financial Integration and Real Estate Security Returns (2008)Do Asian real estate companies add value to investment portfolio? (2009)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Extreme Value Theory as a Risk Management Tool (1999)Inference for Clusters of Extreme Values (2003)Measuring Market Risk (2005)Social physics (2022)Margin exceedences for European stock index futures using extreme value theory (2001)The Center and the Periphery: The Globalization of Financial Turmoil (2003)Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (2006)
this work references cited by second hop

References

  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 2006An Application of Extreme Value Theory for Measuring Financial Risk425 cited
  • 2001Testing and comparing Value-at-Risk measures211 cited
  • 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*188 cited
  • 2005A comparison of extreme value theory approaches for determining value at risk147 cited
  • 2003Investing in International Real Estate Stocks: A Review of the Literature121 cited
  • 2002Diversification Benefits from Foreign Real Estate Investments108 cited
  • 1998Value-at-Risk and Extreme Returns104 cited
  • 2004The choice of the distribution of asset returns: How extreme value theory can help?97 cited
  • 1998Calculating quantile risk measures for financial return series using extreme value theory89 cited
  • 2000Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil73 cited
  • 2004Risk management under extreme events72 cited
  • 2004An analysis of the distribution of extreme returns in the UK from 1975 to 200051 cited

Cited by

  • 2010

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets
24 cited