Economics, Econometrics and Finance
3 years ago

US REIT Returns Predicted with Dynamic Extreme Value Regression

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28th Annual European Real Estate Society Conference
Dynamic Extreme Value Regression of US REIT Returns conditional on Covariates
Alexander Groh, Cay Oertel

Paper Summary

The article explores extreme return movements in real estate investments, focusing on how certain factors affect these movements over time. Researchers use statistical models to analyze the impact of different variables on the scale and shape of these extreme returns. They find that the volatility of the market changes over time, leading to different levels of risk in real estate investments.

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