... for the real estate market. Therefore, the authors recommend that analysts and macro-prudential authorities consider adding it to their models. Originality/value The findings provide evidence that the inclusion of the rental housing market can improve the assessment of public policies and the projection...

... for leptokurtic and asymmetrically distributed real estate portfolio returns. The purpose of the paper is to estimate accurate ten-day-ahead 99%VaR forecasts for real estate markets along with stock markets for seven countries across the world (the USA, the UK, Germany, Japan, Australia, Hong Kong and Singapore...