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Journal of Property Research Volume 24, 2007 - Issue 4: Special Issue for the European Real Estate Society (ERES) Conference 2007
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PAPERS

Real Estate Risk Management with Copulas

Anish Goorah Oxford Properties Group, Toronto, CanadaCorrespondence[email protected]
Pages 289-311 | Received 09 Oct 2007, Accepted 20 Dec 2007, Published online: 29 Feb 2008

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Carsten Fritz & Cay Oertel. (2021) AR-GARCH-EVT-Copula for securitised real estate: an approach to improving risk forecasts?. Journal of Property Research 38:1, pages 71-98.
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Louis Chakkalakal, Ulrich Hommel & Wenwei Li. (2018) Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model. Journal of Property Research 35:2, pages 117-138.
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Meng-Shiuh Chang, Victoria Salin & Yanhong Jin. (2011) Diversification effect of real estate investment trusts: Comparing copula functions with kernel methods. Journal of Property Research 28:3, pages 189-212.
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Colin Ward. (2008) Bayesian REIT Volatility Estimation and Institutional Portfolio Allocation. Journal of Real Estate Portfolio Management 14:4, pages 425-442.
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Articles from other publishers (14)

Walter I. Boudry, Robert A. Connolly & Eva Steiner. (2019) What happens during flight to safety: Evidence from public and private real estate markets. Real Estate Economics 50:1, pages 147-172.
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Iwona Gorzeń-Mitka. (2022) A scientometric view at real estate issues in risk management: Management research versus finance research. Studies in Risk and Sustainable Development 396, pages 1-12.
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Iwona Gorzeń-Mitka. (2022) A scientometric view at real estate issues in risk management: Management research versus finance research. Studies in Risk and Sustainable Development 396, pages 1-12.
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Andréas Heinen, James B. Kau, Donald C. Keenan & Mi Lim Kim. (2019) Spatial Dependence in Subprime Mortgage Defaults. The Journal of Real Estate Finance and Economics 62:1, pages 1-24.
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Cay OertelCay Oertel. 2019. Quantitatives Risikomanagement in der Immobilienwirtschaft. Quantitatives Risikomanagement in der Immobilienwirtschaft 135 269 .
Jamie Alcock & Eva Steiner. (2016) Fundamental Drivers of Dependence in REIT Returns. The Journal of Real Estate Finance and Economics 57:1, pages 4-42.
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Andrey Pavlov, Eva Steiner & Susan Wachter. (2018) The Consequences of REIT Index Membership for Return Patterns. Real Estate Economics 46:1, pages 210-250.
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Gang-Jin Wang & Chi Xie. (2015) Correlation structure and dynamics of international real estate securities markets: A network perspective. Physica A: Statistical Mechanics and its Applications 424, pages 176-193.
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Martin Hoesli & Kustrim Reka. (2011) Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. The Journal of Real Estate Finance and Economics 47:1, pages 1-35.
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Xunfa Lu & Kin Keung Lai. (2009) Dependence Analysis of Diversification Benefits of Chinese Real Estate Securities. Dependence Analysis of Diversification Benefits of Chinese Real Estate Securities.
Andrey D. Pavlov, Eva Steiner & Susan M. Wachter. (2016) The Consequences of REIT Index Membership for Return Patterns. SSRN Electronic Journal.
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Jamie Alcock & Eva Steiner. (2015) Fundamental Drivers of Dependence in REIT Returns. SSRN Electronic Journal.
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Carles Vergara-Alert & Pedro A. C. Saffi. (2012) The Big Short versus The Right Short: Short Selling Activity and Housing Prices Predictability. SSRN Electronic Journal.
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Martin Hoesli & Reka Kustrim. (2011) Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. SSRN Electronic Journal.
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