This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

REIT markets may require different methods. In addition, we compare the risk profiles between the stock and REIT markets …, and find that the extreme risks for REITs are generally higher than those of stock markets. The fluctuations of risk … risk exposure for both REIT and stock investors. In all, our results have significant implications for REIT risk management …

The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional … extreme value model, are used to calculate commodity market risk at extreme quantiles: 0.95, 0.99, 0.995 and 0.999 for both …