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  5. Modeling long memory in REITs
 
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Modeling long memory in REITs

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Download WP-07-07.pdf337.09 KB
Author(s)
Cotter, John 
Stevenson, Simon 
Uri
http://hdl.handle.net/10197/1171
Date Issued
November 2006
Date Available
11T14:10:42Z June 2009
Abstract
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a non-REIT equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence, in contrast to the actual return series. Trading volume is found to be strongly associated with long memory. The results do however suggest differences in the findings with regard to REITs in comparison to the broader equity sector which may be due to relatively thin trading during the sample period.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
University College Dublin. School of Business
Series
Centre for Financial Markets working paper series
WP-07-07
UCD Business Schools Working Paper Series
WP08/15
Copyright (Published Version)
2006, Centre for Financial Markets
Keywords
  • Long memory

  • FGARCH

  • REITs

Subject – LCSH
Real estate investment trusts--Econometric models
Analysis of variance
Time-series analysis
Web versions
http://www.ucd.ie/bankingfinance/docs/wp/cotter%20stevenson%20wp%2007%2007.pdf
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
Owning collection
Centre for Financial Markets Working Papers
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