Title

Chemical Bath Deposition Of Sno 2 And Cd 2 Sno 4 Thin Films

Keywords

Expected shortfall; Extreme risks; Financial crisis; REITs; Value-at-Risk

Abstract

Extreme risks associated with extraordinary market conditions are catastrophic for all investors. The ongoing financial crisis has perfectly exemplified this point. Surprisingly, there are few studies exploring this issue for REITs. This study aims to close the knowledge gap. We conduct a comprehensive study by utilizing all three methodological categories to examine their forecasting performances of VaR and ES for nine major global REIT markets. Our findings indicate that there is no universally adequate method to model extreme risks across global markets. Also, estimating risks for the stock and REIT markets may require different methods. In addition, we compare the risk profiles between the stock and REIT markets, and find that the extreme risks for REITs are generally higher than those of stock markets. The fluctuations of risk levels are well synchronized between the two types of markets. The current crisis has significantly increased the extreme risk exposure for both REIT and stock investors. In all, our results have significant implications for REIT risk management, portfolio selection, and evaluation. © 2010 Springer Science+Business Media, LLC.

Publication Date

6-1-2012

Publication Title

Applied Surface Science

Volume

258

Issue

1

Number of Pages

6069-6074

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.apsusc.2012.03.004

Socpus ID

84862812717 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84862812717

This document is currently not available here.

Share

COinS