Modeling long memory in REITs

Files in This Item:
File Description SizeFormat 
WP-07-07.pdf337.09 kBAdobe PDFDownload
Title: Modeling long memory in REITs
Authors: Cotter, John
Stevenson, Simon
Permanent link:
Date: Nov-2006
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/Report no.: 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 memoryFGARCHREITs
Subject LCSH: Real estate investment trusts--Econometric models
Analysis of variance
Time-series analysis
Other versions:
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

Show full item record

Page view(s) 50

checked on May 25, 2018

Download(s) 50

checked on May 25, 2018

Google ScholarTM


This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.