References
- Acerbi, C., & Szekely, B. (2017). General properties of backtestable statistics. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2905109
- Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228. https://doi.org/10.1111/1467-9965.00068
- Bali, T. G. (2007). An extreme value approach to estimating interest-rate volatility: Pricing implications for interest-rate options. Management Science, 53(2), 323–339. https://doi.org/10.1287/mnsc.1060.0628
- Bali, T. G., & Theodossiou, P. (2008). Risk measurement performance of alternative distribution functions. The Journal of Risk and Insurance, 75(2), 411–437. https://doi.org/10.1111/j.1539-6975.2008.00266.x
- Bao, Y., Lee, T.-H., & Saltoglu, B. (2006). Evaluating predictive performance of value-at-risk models in emerging markets: A reality check. Journal of Forecasting, 25(2), 101–128. https://doi.org/10.1002/for.977
- Bekaert, G., Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1998). Distributional characteristics of emerging market returns and asset allocation. The Journal of Portfolio Management, 24(2), 102–116. https://doi.org/10.3905/jpm.24.2.102
- Bhattacharyya, M., & Ritolia, G. (2008). Conditional VaR using EVT – towards a planned margin scheme. International Review of Financial Analysis, 17(2), 382–395. https://doi.org/10.1016/j.irfa.2006.08.004
- Bondt, W., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793–805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
- Byrne, P., & Lee, S. (1997). Real estate portfolio analysis under conditions of non-normality: The case of NCREIF. The Journal of Real Estate Portfolio Management, 3(1), 37–46. https://doi.org/10.1080/10835547.1997.12089534
- Case, B., Yawei, Y., & Yildiray, Y. (2012). Dynamic correlations among asset classes: REIT and stock Returns. The Journal of Real Estate Finance and Economics, 44(3), 298–318. https://doi.org/10.1007/s11146-010-9239-2
- Chakkalakal, L., Hommel, U., & Li, W. (2018). Transport infrastructure equities in mixed-asset portfolios: Estimating risk with a Garch-Copula CVaR model. Journal of Property Research, 35(2), 117–138. https://doi.org/10.1080/09599916.2018.1461126
- Chan, K., & Gray, P. (2006). Using extreme value theory to measure value-at-risk for daily electricity spot prices. International Journal of Forecasting, 22(2), 283–300. https://doi.org/10.1016/j.ijforecast.2005.10.002
- Chang, M.-S., Salin, V., & Jin, Y. (2011). Diversification effect of real estate investment trusts: Comparing copula functions with kernel methods. Journal of Property Research, 28(3), 189–212. https://doi.org/10.1080/09599916.2011.577904
- Christoffersen, P. (1998). Evaluating Interval Forecasts. International Economic Review, 39(4), 841–862. https://doi.org/10.2307/2527341
- Christoffersen, P. (2004). Backtesting value-at-risk: A duration-based approach. Journal of Financial Econometrics, 2(1), 84–108. https://doi.org/10.1093/jjfinec/nbh004
- Christoffersen, P., Errunza, V., Jacobs, K., & Jin, X. (2014). Correlation dynamics and international diversification benefits. International Journal of Forecasting, 30(3), 807–824. https://doi.org/10.1016/j.ijforecast.2014.01.001
- Clayton, D. G. (1978). A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease. Biometrika, 65(1), 141–151. https://doi.org/10.1093/biomet/65.1.141
- Coleman, M. S., & Mansour, A. (2005). Real estate in the real world—dealing with non-normality and risk in and asset allocation model. Journal of Real Estate Portfolio Management, 11(1), 37–54. https://doi.org/10.1080/10835547.2005.12089714
- Consigli, G. (2002). Tail estimation and mean–VaR portfolio selection in markets subject to financial instability. Journal of Banking & Finance, 26(7), 1355–1382. https://doi.org/10.1016/S0378-4266(02)00267-4
- Cotter, J., & Stevenson, S. (2006). Multivariate modeling of daily REIT volatility. The Journal of Real Estate Finance and Economics, 32(3), 305–325. https://doi.org/10.1007/s11146-006-6804-9
- de Melo Mendes, B. (2005). Asymmetric extreme interdependence in emerging equity markets. Applied Stochastic Models in Business and Industry, 21(6), 483–498. https://doi.org/10.1002/asmb.602
- Deng, L., Ma, C., & Yang, W. (2011). Portfolio optimization via pair Copula-GARCH-EVT-CVaR Model. Systems Engineering Procedia, 2, 171–181. https://doi.org/10.1016/j.sepro.2011.10.020
- Dittmar, R. F. (2002). Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns. The Journal of Finance, 57(1), 369–403. https://doi.org/10.1111/1540-6261.00425
- Du, Z., & Escanciano, J. C. (2017). Backtesting expected shortfall: Accounting for tail risk. Management Science, 63(4), 940–958. https://doi.org/10.1287/mnsc.2015.2342
- Dulguerov, M. (2009). Real estate and portfolio risk: An analysis based on copula functions. Journal of Property Research, 26(3), 265–280. https://doi.org/10.1080/09599911003669708
- Ergen, I. (2015). Two-step methods in VaR prediction and the importance of fat tails. Quantitative Finance, 15(6), 1013–1030. https://doi.org/10.1080/14697688.2014.942230
- Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34–105. https://doi.org/10.1086/294743
- Frank, M. J. (1979). On the simultaneous associativity of F (x, y) and x + y − F (x, y). Aaequationes Mathematicae, 19(1), 194–226. https://doi.org/10.1007/BF02189866
- Gabriel, C., & Lau, C. (2014). On the distribution of government bond returns: Evidence from the EMU. Financial Markets and Portfolio Management, 28(2), 181–203. https://doi.org/10.1007/s11408-014-0228-y
- Goorah, A. (2007). Real estate risk management with Copulas. Journal of Property Research, 24(4), 289–311. https://doi.org/10.1080/09599910801916162
- Gumbel, E. J. (1960). Bivariate exponential distributions. Journal of the American Statistical Association, 55(292), 698–707. https://doi.org/10.1080/01621459.1960.10483368
- Hansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: Does anything beat a GARCH(1,1)? Journal of Applied Econometrics, 20(7), 873–889. https://doi.org/10.1002/jae.800
- Harris, R. D., & Kucukozmen, C. C. (2001). The empirical distribution of UK and US stock returns. Journal of Business Finance Accounting, 28(5–6), 715–740. https://doi.org/10.1111/1468-5957.00391
- Hiang Liow, K. (2008). Extreme returns and value at risk in international securitized real estate markets. Journal of Property Investment & Finance, 26(5), 418–446. https://doi.org/10.1108/14635780810900279
- Hoesli, M., Lekander, J., & Witkiewicz, W. (2003). Real estate in the institutional portfolio. The Journal of Alternative Investments, 6(3), 53–59. https://doi.org/10.3905/jai.2003.319099
- Hoesli, M., & Oikarinen, E. (2012). Are REITs real estate? Evidence from international sector level data. Journal of International Money and Finance, 31(7), 1823–1850. https://doi.org/10.1016/j.jimonfin.2012.05.017
- Hoesli, M., & Reka, K. (2013). Volatility spillovers, comovements and contagion in securitized real estate markets. The Journal of Real Estate Finance and Economics, 47(1), 1–35. https://doi.org/10.1007/s11146-011-9346-8
- Huang, J.-Z., & Zhong, Z. (2013). Time variation in diversification benefits of commodity, REITs, and TIPS. The Journal of Real Estate Finance and Economics, 46(1), 152–192. https://doi.org/10.1007/s11146-011-9311-6
- Hui, E. C., & Chan, K. K. (2013). The European sovereign debt crisis: Contagion across European real estate markets. Journal of Property Research, 30(2), 87–102. https://doi.org/10.1080/09599916.2012.724441
- Hurd, M., Salmon, M., & Schleicher, C. (2007). Using Copulae to construct bivariate Foreign exchange distributions with an application to the sterling exchange rate index (No. 334). Bank of England Working Paper.
- Jirasakuldech, B., Campbell, R. D., & Emekter, R. (2009). Conditional volatility of equity real estate investment trust returns: A pre- and post-1993 comparison. The Journal of Real Estate Finance and Economics, 38(2), 137–154. https://doi.org/10.1007/s11146-007-9079-x
- Joe, H. (1993). Parametric families of multivariate distributions with given margins. Journal of Multivariate Analysis, 46(2), 262–282. https://doi.org/10.1006/jmva.1993.1061
- Joe, H. (1997). Multivariate models and dependence concepts (1. CRC reprint, Volume 73). Chapman & Hall/CRC.
- Joe, H., & Xu, J. J. (1996). The estimation method of inference functions for margins for multivariate models. Vancouver : University of British Columbia Library. doi: 10.14288/1.0225985
- Karmakar, M. (2017). Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach. The Quarterly Review of Economics and Finance, 64(1), pp. 275–291. https://doi.org/10.1016/j.qref.2017.01.007
- Knight, J., Lizieri, C., & Satchell, S. (2005). Diversification when It Hurts? The joint distributions of real estate and equity markets. Journal of Property Research, 22(4), pp. 309–323. https://doi.org/10.1080/09599910600558520
- Kole, E., Koedijk, K. C., & Verbeek, M. (2007). Selecting Copulae for risk management. Journal of Banking & Finance, 31(8), 2405–2423. https://doi.org/10.1016/j.jbankfin.2006.09.010
- Kuester, K., Mittnik, S., & Paolella, M. (2006). Value-at-Risk prediction: A comparison of alternative strategies. Journal of Financial Econometrics, 4(1), 53–89. https://doi.org/10.1093/jjfinec/nbj002
- Kuhle, J., & Alvayay, J. (2000). The efficiency of equity REIT prices. Journal of Real Estate Portfolio Management, 6(4), 349–354. https://www.jstor.org/stable/24882238?seq=1
- Kupiec, P. H. (1995). Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives, 3(2), 73–84. https://doi.org/10.3905/jod.1995.407942
- Letdin, M., Sirmans, C.S. Sirmans, G. S. & Zietz, E. N. (2019): Explaining REIT returns. Journal of Real Estate Literature, 27(1), pp. 1–25. doi:10.1080/10835547.2019.12090493
- Mabrouk, S., & Saadi, S. (2012). Parametric value-at-risk analysis: evidence from stock indices. The Quarterly Review of Economics and Finance, 52(3), 305–321. https://doi.org/10.1016/j.qref.2012.04.006
- Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 36(4), 394–419. https://doi.org/10.1086/294632
- McNeil, A. J., & Frey, R. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of Empirical Finance, 7(3), 271–300. https://doi.org/10.1016/S0927-5398(00)00012-8
- McNeil, A. J., Frey, R., Embrechts, P., & Frey, R. D. (2005). Quantitative risk management. Princeton University Press.
- Nelsen, R. B. (1999). An introduction to Copulae (Second ed.). Springer Science+Business Media Inc.
- Nolde, N., & Ziegel, J. F. (2017). Elicitability and backtesting: Perspectives for banking regulation. The Annals of Applied Statistics, 11(4), 1833–1874. https://doi.org/10.1214/17-AOAS1041
- Officer, R. R. (1972). The Distribution of Stock Returns. Journal of the American Statistical Association, 67(340), 807–812. https://doi.org/10.1080/01621459.1972.10481297
- Payne, J., & Sahu, A. (2004). Random walks, cointegration, and the transmission of shocks across global real estate and equity markets. Journal of Economics and Finance, 28(2), 198–210. https://doi.org/10.1007/BF02761611
- Rachev, S. T., Schwarz, E. S., & Khindanova, I. (2003). Stable modeling ofmarket and credit value-at-risk. In S. T. Rachev (Ed.), Handbook of heavy tailed distributions in finance (pp. 249–328). Elsevier.
- Richter, J., Thomas, M., & Füss, R. (2011). German real estate return distributions: Is there anything normal? Journal of Real Estate Portfolio Management, 17(2), 161–179. https://doi.org/10.1080/10835547.2011.12089900
- Rocco, M. (2014). Extreme value theory in finance: A survey. Journal of Economic Surveys, 28(1), 82–108. https://doi.org/10.1111/j.1467-6419.2012.00744.x
- Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2(3), 21–41. https://doi.org/10.21314/JOR.2000.038
- Rossignolo, A. F., Fethi, M. D., & Shaban, M. (2012). Value-at-Risk models and Basel capital charges. Journal of Financial Stability, 8(4), 303–319. https://doi.org/10.1016/j.jfs.2011.11.003
- Sahamkhadam, M., Stephan, A., & Östermark, R. (2018). Portfolio optimization based on GARCH-EVT-Copula forecasting models. International Journal of Forecasting, 34(3), 497–506. https://doi.org/10.1016/j.ijforecast.2018.02.004
- Schindler, F. (2010) Further evidence on the (in-)efficiency of the U.S. housing market. Discussion paper, vol 10-004. ZEW—Centre for European Economic Research
- Sklar, A. (1959). Fonctions de Répartition à n Dimensions et Leurs Marges. Publications de l’Institut Statistique de l’Université de Paris, 8, 229–231..
- Sklar, A. (1973). Random variables, joint distribution functions, and copulae. Kybernetika, 9(6), 449–460. https://www.jstor.org/stable/4355880?seq=1
- Wang, Z.-R., Chen, X.-H., Jin, Y.-B., & Zhou, Y.-J. (2010). Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model. Physica A: Statistical Mechanics and Its Applications, 389(21), 4918–4928. https://doi.org/10.1016/j.physa.2010.07.012
- Wei, Y.-H., & Zhang, S.-Y. (2004). Dependence analysis of finance markets: Copula-GARCH model and ist application. Systems Engineering.
- Wheaton, W. C., Torto, R. G., Southard, J. A., & Sivitanides, P. S. (1999). Evaluating risk in real estate. Real Estate Finance, 16, 15–22.
- Wu, -C.-C., & Lin, Z.-Y. (2014). An economic evaluation of stock–bond return comovements with copula-based GARCH models. Quantitative Finance, 14(7), 1283–1296. https://doi.org/10.1080/14697688.2012.727213
- Yang, J., Zhou, Y., & Leung, W. K. (2012). Asymmetric correlation and volatility dynamics among stock, bond, and securitized real estate markets. The Journal of Real Estate Finance and Economics, 45(2), 491–521. https://doi.org/10.1007/s11146-010-9265-0
- Young, M. S., Lee, S. L., & Devaney, S. P. (2006). Non‐normal real estate return distributions by property type in the UK. Journal of Property Research, 23(2), 109–133. https://doi.org/10.1080/09599910600800302