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

Author(s)
Cotter, John  
Stevenson, Simon  
Uri
http://hdl.handle.net/10197/1171
Date Issued
2006-11
Date Available
2009-06-11T14:10:42Z
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
Subjects

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Not peer reviewed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/
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WP-07-07.pdf

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Format

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Checksum (MD5)

590e1b7cb66909a9ab7512669481f668

Owning collection
Centre for Financial Markets Working Papers

Item descriptive metadata is released under a CC-0 (public domain) license: https://creativecommons.org/public-domain/cc0/.
All other content is subject to copyright.

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