Real Estate Risk Management with Copulas

Correlation structure and dynamics of international real estate securities markets: A network perspective

“…For instance, Liow and Sim [13] investigate the unconditional correlations between US and the Asian real estate securities markets in the period from 1990 to 2003 through analyzing the correlation matrix based on Pearson's correlation function (PCC). Michayluk et al [14] design an asymmetric covariance model to analyze the time-varying correlations between US and UK securitized real estate markets in the period 2000-2003, while Goorah [15] uses copula methods to examine the correlation structure between the two real estate securities markets during the period 1990-2007. Liow et al [16] employ the dynamic conditional correlation (DCC)-GJR-GARCH model to study the correlation structure and dynamics of international real estate securities markets including five developed markets (US, UK, Japan, Hong Kong, and Singapore).…”

Diversification effect of real estate investment trusts: Comparing copula functions with kernel methods

“…Within the literature on copulas, there are several options based on either parametric or nonparametric approaches as reported in Knight et al (2005), Poon, Rockinger, and Tawn (2004), Kole, Koedijk, and Verbeek (2007), Okimoto (2008), Goorah (2007) and Rong and Truck (2010). Poon et al (2004) used the Gumbel parametric form of copula to compare with the Hill estimator (Hill, 1975), while Kole's and Rong and Truck's results supported the student's t parametric form.…”

“…For example, Charpentier and Segers (2007) analysed and refined the Archimedean copulas for multivariate distributions. Moreover, copula-based estimations for PVaR are drawing increasing attention in the literature (Embrechts, Höing, & Juri, 2003;Clemente & Romano, 2003;Knight, Lizieri, & Satchell, 2005;Miller & Liu, 2006;Goorah, 2007).…”

“…However, the Monte Carlo simulation approach has a potential problem, which is that the assumed distribution may not accurately describe the actual distribution of market factors. Usually, the actual distributions of changes in market rates of return have fat tails with respect to the normal distribution (Goorah, 2007). Therefore, an approach that does not impose normality is important to avoid understating risk.…”

Estratégias de diversificação de carteiras de ações com dependência assimétrica

“…Entretanto, sua utilização em finanças ainda é recente, com um grande número de trabalhos aparecendo na década de 2000. Dentre suas aplicações, destacamse a gestão de riscos -Martellini e Meyfredi (2007), Goorah (2007) Conforme Santos e Pereira (2011), a teoria de cópulas é uma metodologia de modelagem de distribuições multivariadas. Como alicerce principal, admite que toda distribuição multivariada pode ser decomposta em uma estrutura para as distribuições marginais e uma estrutura de dependência, representada pelas funções cópulas que, por sua vez, "ligam" as distribuições marginais numa estrutura única.…”