摘要翻译：
本文利用基于GARCH的多元模型对REITs的波动性进行了研究。多元VAR-GARCH技术记录了REIT各细分行业之间的收益和波动性联系，并检验了其他美国股票系列的影响。投资者的动机是在投资组合选择中考虑时间波动性和相关性。结果表明，当较高频率的日数据与现有文献中常用的月数据相比较时，结果的差异。REIT部门内部以及REIT与价值股等相关部门之间的联系，比月度研究中普遍发现的要弱。在日常情况下，广阔的市场似乎更具影响力。
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英文标题：
《Multivariate Modeling of Daily REIT Volatility》
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作者：
John Cotter and Simon Stevenson
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng volatility and correlations in their portfolio selection. The results illustrate the differences in results when higher frequency daily data is tested in comparison to the monthly data that has been commonly used in the existing literature. The linkages both within the REIT sector and between REITs and related sectors such as value stocks are weaker than commonly found in monthly studies. The broad market would appear to be more influential in the daily case.
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PDF链接：
https://arxiv.org/pdf/1103.5660