摘要翻译：
本文采用时变方法，考察了REIT行业波动性的动态变化。结果表明，基于GARCH的方法在REIT日波动性建模中的吸引力和适用性。本文考察了影响REIT波动性的因素，证明了REIT各细分行业之间的收益和波动性之间的联系，并考察了美国其他股票系列的影响。这一结果与前人对REIT月度波动性的研究进行了对比。房地产投资信托基金行业内部及与相关行业如价值股的联系减弱，而大盘指数所带来的市场情绪的一般影响则增强。这表明，在日常基础上，总体市场情绪比资本市场中更直观的关系发挥着更基本的作用。
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英文标题：
《Uncovering Volatility Dynamics in Daily REIT Returns》
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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：
  Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices is enhanced. This would indicate that on a daily basis general market sentiment plays a more fundamental role than more intuitive relationships within the capital markets.
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PDF链接：
https://arxiv.org/pdf/1103.5417