Modeling long memory in REITs

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Title: Modeling long memory in REITs
Authors: Cotter, John
Stevenson, Simon
Permanent link: http://hdl.handle.net/10197/1171
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
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
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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