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• W2057854178 abstract "Value at Risk estimated with joint distribution methodologies demonstrates that risk is lower for portfolios of real estate investment trusts (REITs) and small-business equities compared with a single-asset holding. Benefits from diversification were largest in 2001–2003 and the smallest from 2006–2008. Previous research using Value at Risk points out the importance of model selection. Various estimation approaches affected results modestly over the entire period (1989–mid 2008). The Value at Risk is -3.1% for two copula models and -3.2% for a nonparametric empirical joint density, at a 1% probability level for weekly returns. After June 1996, the nonparametric copula model consistently returned the lowest risk estimate among the three joint distribution methods. Time-varying risk is a more important driver in the results than model specification. The highest portfolio risk was found for the period after August 2006 (weekly losses of 4.4% to 5%). The distribution-based model results were closer to the und..." @default.
• W2057854178 created "2016-06-24" @default.
• W2057854178 creator A5002456108 @default.
• W2057854178 creator A5004476217 @default.
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• W2057854178 date "2011-09-01" @default.
• W2057854178 modified "2023-09-25" @default.
• W2057854178 title "Diversification effect of real estate investment trusts: Comparing copula functions with kernel methods" @default.
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• W2057854178 doi "https://doi.org/10.1080/09599916.2011.577904" @default.
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