Advanced search
Publication Cover
Journal of Real Estate Portfolio Management Volume 18, 2012 - Issue 3
Submit an article Journal homepage
13
Views
1
CrossRef citations to date
0
Altmetric
Research Articles

The Downside Risk of U.S. and U.K. Housing Markets

Ming-Chu ChiangNational Yunlin University of Science & Technology, Douliou, Yunlin 64002, Taiwan
,
I-Chun TsaiNational University of Kaohsiung, Kaohsiung, Taiwan
&
Cheng-Feng LeeNational Kaohsiung University of Applied Sciences, Taiwan
Pages 257-272 | Published online: 18 Jun 2020

  • Bali, T.G. An Extreme Value Approach to Estimating Volatility and Value at Risk. Journal of Business, 2003, 76, 83-107. An Extreme Value Approach to Estimating Volatility and Value at Risk Journal of Business 76 83 107
  • Balkema, A. and L. de Haan. Residual Life Time at Great Age. Annals of Probability, 1974, 2, 792-804. Residual Life Time at Great Age Annals of Probability 2 792 804
  • Bao, Y., T.H. Lee, and B.S. Saltoglu. Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check. Journal of Forecasting, 2006, 25, 101-28. Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check Journal of Forecasting 25 101 28
  • Barone-Adesi, G., K. Giannopoulos, and L. Vosper. Filtered Historical Simulation; Backtest Analysis. Working Paper, University of Westminster, 2000.
  • Barone-Adesi, G., K. Giannopoulos, and L. Vosper. VaR Without Correlations for Portfolios of Derivatives Securities. Journal of Futures Markets, 1999, 19, 583-602. VaR Without Correlations for Portfolios of Derivatives Securities Journal of Futures Markets 19 583 602
  • Bollerslev, T. A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics, 1987, 69, 542-47. A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return The Review of Economics and Statistics 69 542 47
  • Booth, P.M., G.A. Matysiak, and P. Ormerod. Risk Measurement and Management for Real Estate Investment Portfolios. Summary Report. London, U.K.: Investment Property Forum Educational Trust, 2002. Risk Measurement and Management for Real Estate Investment Portfolios
  • Brooks, C., A.D. Clare, J.W. Dalle Molle, and G. Persand. A Comparison of Extreme Value Theory Approaches for Determining Value at Risk. Journal of Empirical Finance, 2005, 12, 339-52. A Comparison of Extreme Value Theory Approaches for Determining Value at Risk Journal of Empirical Finance 12 339 52
  • Brueckner, J.K. Urban Sprawl: Diagnosis and Remedies. International Regional Science Review, 2000, 23, 160-71. Urban Sprawl: Diagnosis and Remedies International Regional Science Review 23 160 71
  • Byrne, P.J. and S.L. Lee. Real Estate Portfolio Analysis Under Conditions of Non-Normality: The Case of NCREIF. Journal of Real Estate Portfolio Management, 1997, 3, 37-46. Real Estate Portfolio Analysis Under Conditions of Non-Normality: The Case of NCREIF Journal of Real Estate Portfolio Management 3 37 46
  • Cheng, P. Asymmetric Risk Measures and Real Estate Returns. The Journal of Real Estate Finance and Economics, 2005, 30:1, 89-102. Asymmetric Risk Measures and Real Estate Returns The Journal of Real Estate Finance and Economics 30 89 102
  • Clark, S.P. and T.D. Coggin. Was there a U.S. House Price Bubble? An Econometric Analysis using National and Regional Panel Data. The Quarterly Review of Economics and Finance, 2011, 51, 189-200. Was there a U.S. House Price Bubble? An Econometric Analysis using National and Regional Panel Data The Quarterly Review of Economics and Finance 51 189 200
  • Danielsson, J. and C.G. de Vries. Tail Index and Quantile Estimation with Very High Frequency Data. Journal of Empirical Finance, 1997, 4, 241-57. Tail Index and Quantile Estimation with Very High Frequency Data Journal of Empirical Finance 4 241 57
  • Duffie, D. and J. Pan. An Overview of the Value at Risk. Journal of Derivatives, 1997, 4, 7-49. An Overview of the Value at Risk Journal of Derivatives 4 7 49
  • Engle, R.F. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 1982, 50, 987-1008. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation Econometrica 50 987 1008
  • Fama, E.F. The Behavior of Stock Market Prices. Journal of Business, 1965, 38, 34-105. The Behavior of Stock Market Prices Journal of Business 38 34 105
  • Graff, R.A., A. Harrington, and M.S. Young. The Shape of Australian Real Estate Return Distributions and Comparisons to the United States. Journal of Real Estate Research, 1997, 14, 291-308. The Shape of Australian Real Estate Return Distributions and Comparisons to the United States Journal of Real Estate Research 14 291 308
  • Harrison, D.M., T.G. Noordewier, and A. Yavas. Do Riskier Borrowers Borrow More? Real Estate Economics, 2004, 32, 358-411. Do Riskier Borrowers Borrow More? Real Estate Economics 32 358 411
  • Hols, M. and C. de Vries. The Limiting Distribution of Extremal Exchange Rate Returns. Journal of Applied Econometrics, 1991, 6, 287-302. The Limiting Distribution of Extremal Exchange Rate Returns Journal of Applied Econometrics 6 287 302
  • Hull, J., A. White, and A. White. Incorporating Volatility Updating for Value-at-Risk. Journal of Risk, 1998, 6, 5-18. Incorporating Volatility Updating for Value-at-Risk Journal of Risk 1 5 19
  • Jokivuolle, E. and S. Peura. Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-Value Ratios. European Financial Management, 2003, 9, 299-314. Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-Value Ratios European Financial Management 9 299 314
  • Jondeau, E. and M. Rockinger. Testing for Difference in the Tails of Stock-Market Returns. Journal of Empirical Finance, 2003, 10, 559-81. Testing for Difference in the Tails of Stock-Market Returns Journal of Empirical Finance 10 559 81
  • J.P. Morgan/Reuters. RiskMetrics—Technical Document. Fourth edition. New York, 1996.
  • Kuester, K., S. Mittnik, and M.S. Paolella. Value-at-Risk Prediction: A Comparison of Alternative Strategies. Journal of Financial Econometrics, 2006, 4, 53-89. Value-at-Risk Prediction: A Comparison of Alternative Strategies Journal of Financial Econometrics 4 53 89
  • Kupiec, P.H. Techniques for Verifying the Accuracy of Risk Measurement Models. Journal of Derivatives, 1995, 3, 73-84. Techniques for Verifying the Accuracy of Risk Measurement Models Journal of Derivatives 3 73 84
  • Liou, K.H. Extreme Returns and Value at Risk in International Securitized Real Estate Markets. Journal of Property Investment & Finance, 2008, 26, 418-46. Extreme Returns and Value at Risk in International Securitized Real Estate Markets Journal of Property Investment & Finance 26 418 46
  • Lizieri, C. and C. Ward. The Distribution of Real Estate Returns. In J. Knight and S. Satchell (eds.), Return Distributions in Finance. Oxford, U.K.: Butterworth-Heinemann, 2000, 47-74. Return Distributions in Finance 47 74
  • Longin, F.M. Optimal Margin Level in Futures Markets: Extreme Price Movements. Journal of Futures Market, 1999, 19, 127-52. Optimal Margin Level in Futures Markets: Extreme Price Movements Journal of Futures Market 19 127 52
  • Longin, F.M. From Value at Risk to Stress Testing: the Extreme Value Approach. Journal of Banking and Finance, 2000, 24, 1097-1130. From Value at Risk to Stress Testing: the Extreme Value Approach Journal of Banking and Finance 24 1097 1130
  • Lu, C., S.C. Wu, and L.C. Ho. Applying VaR to REITs: A Comparison of Alternative Methods. Review of Financial Economics, 2009, 18, 97-102. Applying VaR to REITs: A Comparison of Alternative Methods Review of Financial Economics 18 97 102
  • Manganelli, S. and Engle, R.F. Value at Risk Models in Finance. In: Risk Measures for the 21st Century, G. Szegö (ed.). Chichester, U.K.: Wiley, 2004. Risk Measures for the 21st Century
  • Maurer, R., F. Reiner, and S. Sebastian. Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparisons to the U.S. and U.K. Journal of Real Estate Portfolio Management, 2004, 10, 59-76. Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparisons to the U.S. and U.K Journal of Real Estate Portfolio Management 10 59 76
  • McNeil, A.J. and R. Frey. Estimation of Tail-related Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value Approach. Journal of Empirical Finance, 2000, 7, 271-300. Estimation of Tail-related Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value Approach Journal of Empirical Finance 7 271 300
  • Mussa, M. Empirical Regularities in the Behavior of Exchange Rates and Theories of the Foreign Exchange Market. Carnegie-Rochester Conference Series on Public Policy, 1979, 11, 9-57. Empirical Regularities in the Behavior of Exchange Rates and Theories of the Foreign Exchange Market Carnegie-Rochester Conference Series on Public Policy 11 9 57
  • Myer, F.C.N. and J.R. Webb. Statistical Properties of Returns: Financial Assets versus Commercial Real Estate. Journal of Real Estate Finance and Economics, 1994, 8, 267-82. Statistical Properties of Returns: Financial Assets versus Commercial Real Estate Journal of Real Estate Finance and Economics 8 267 82
  • Pickands, J. Statistical Inference using Extreme Order Statistics. Annals of Statistics, 1975, 3, 119-31. Statistical Inference using Extreme Order Statistics Annals of Statistics 3 119 31
  • Pownall, R.A.J. and K.G. Koedijk. Capturing Downside Risk in Financial Markets: The Case of the Asian Crisis. Journal of International Money and Finance, 1999, 18, 853-70. Capturing Downside Risk in Financial Markets: The Case of the Asian Crisis Journal of International Money and Finance 18 853 70
  • Pritsker, M. Evaluating Value at Risk Methodologies: Accuracy versus Computational Time. Journal of Financial Services Research, 1997, 12, 201-43. Evaluating Value at Risk Methodologies: Accuracy versus Computational Time Journal of Financial Services Research 12 201 43
  • Sama, M., S. Thomas, and A. Shah. Selection of Value-at-Risk Models. Journal of Forecasting, 2003, 22, 337-58. Selection of Value-at-Risk Models Journal of Forecasting 22 337 58
  • Tsai, I.C. and M.C. Chen. The Asymmetric Volatility of House Prices in the U.K. Property Management, 2009, 27, 22, 80-90. The Asymmetric Volatility of House Prices in the U.K. Property Management 27 80 90
  • Young, M.S. and R.A. Graff. Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distribution. Journal of Real Estate Finance and Economics, 1995, 10, 225-59. Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distribution Journal of Real Estate Finance and Economics 10 225 59
  • Young, M.S., S.L. Lee, and S.P. Devaney. Non-Normal Real Estate Return Distributions by Property Type in the U.K. Journal of Property Research, 2006, 23, 109-133. Non-Normal Real Estate Return Distributions by Property Type in the U.K. Journal of Property Research 23 109 133
  • Zhou, J. and R.I. Anderson. Extreme Risk Measures for International REIT Markets. Journal of Real Estate Finance and Economics, 2010, 45, 152-70. Extreme Risk Measures for International REIT Markets Journal of Real Estate Finance and Economics 45 152 70

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.