Including More Information Content to Enhance the Value at Risk Estimation for Real Estate Investment Trusts

Jin-Ray Lu, Chiang-Chang Hwang, Yi-Chun Chen and Chu-Ting Wen

International Journal of Financial Research, 2013, vol. 4, issue 3, 25-34

Abstract: 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.

Keywords: REITs; VaR; composite method; higher moments (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:4:y:2013:i:3:p:25-34

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