{"title":"全球房地产投资信托基金市场的波动动态","authors":"K. Chang, 이민아","doi":"10.1108/jdqs-01-2019-b0004","DOIUrl":null,"url":null,"abstract":"This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets. Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk. According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets. Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.","PeriodicalId":34607,"journal":{"name":"Seonmul yeongu","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Volatility Dynamics of the Global REITs Market\",\"authors\":\"K. Chang, 이민아\",\"doi\":\"10.1108/jdqs-01-2019-b0004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets. Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk. According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets. Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.\",\"PeriodicalId\":34607,\"journal\":{\"name\":\"Seonmul yeongu\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Seonmul yeongu\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jdqs-01-2019-b0004\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Seonmul yeongu","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jdqs-01-2019-b0004","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
The Volatility Dynamics of the Global REITs Market
This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets. Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk. According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets. Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.
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