Modeling long memory in REITs

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Title: Modeling long memory in REITs
Authors: Cotter, John
Simon Stevenson, Simon
Permanent link: http://hdl.handle.net/10197/1622
Date: 2008
Abstract: One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate investment trust (REITs) and compares the findings for a market equity index. The article utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence. Trading volume is found to be strongly associated with long memory. Results suggest differences in the findings with regard to REITs in comparison to the broader equity sector.
Type of material: Journal Article
Publisher: Wiley
Copyright (published version): 2008 American Real Estate and Urban Economics Association
Subject LCSH: Real estate investment trusts--Econometric models
Analysis of variance
Time-series analysis
DOI: 10.1111/j.1540-6229.2008.00221.x
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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