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US equity tail risk and currency risk premia

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - 2019 - This version: July 2019

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Risk spillover from international crude oil markets to China's financial markets : evidence from extreme events and U.S. monetary policy

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The sources of risk spillovers among US REITs : financial characteristics and regional proximity

Adams, Zeno; Füss, Roland; Schindler, Felix - In: Real estate economics : journal of the American Real … 43 (2015) 1, pp. 67-100

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Real estate investment trust return dynamics and value-at-risk under alternative classes of model specifications

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The relationship between credit default swap spreads and equity prices

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The sources of risk spillovers among US REITs : financial characteristics and regional proximity

Adams, Zeno; Füss, Roland; Schindler, Felix - 2013 - This version: June 2013

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The Sources of Risk Spillovers Among US REITs : Financial Characteristics and Regional Proximity

Adams, Zeno - 2016

In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition (tranquil, normal, and volatile REIT...

Persistent link: https://www.econbiz.de/10013007129