Purpose of the paper The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate portfolio returns. The purpose of the paper is to estimate accurate 10-day-ahead 99% VaR...

Since the birth of the Capital Asset Pricing Model (CAPM), enormous efforts have been devoted to studies evaluating the validity of this model, a unique breakthrough and valuable contribution to the world of financial economics. Some empirical studies conducted, have appeared to be in harmony with the principles of CAPM while others contradict the model. The aim of this paper is to study if the...