Abstract This paper examines the roles of jumps in the time series of Real Estate Investment Trust (REIT) returns. Using measures of the quadratic variation of high-frequency REIT returns, it documents evidence of jumps in the returns and volatility of returns. Evidence of persistence in the occurrence of jumps is also uncovered. Motivated by these findings, the paper also examines whether a set of financial and macroeconomic state variables can account for the magnitude of jumps seen in the returns and volatilities of REIT indices. By applying linear and threshold regressions, heterogeneous autoregressive volatility, and conditional hazard models on the jump data, it is shown that variations in the magnitude of jumps, the frequency of jumps, and the realized volatilities of REIT returns can be explained by term spread, default spread, VIX, equity market returns, commodity returns, and the U.S. dollar exchange rates.

中文翻译：

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REIT回报率中的波动率跳跃及其决定因素

摘要本文探讨了跳跃在房地产投资信托（REIT）回报时间序列中的作用。使用高频REIT收益的二次方变化的度量，它记录了收益跳跃和收益波动的证据。还没有发现持续发生跳跃的证据。基于这些发现，本文还研究了一组金融和宏观经济状态变量是否可以解释REIT指数的收益率和波动率的跳跃幅度。通过在跳跃数据上应用线性和阈值回归，异质自回归波动率和条件风险模型，结果表明，跳跃幅度，跳跃频率和REIT回报的实际波动率的变化可以用期限扩散来解释，默认点差，VIX，