Modeling long memory in REITs

Files in This Item:
File Description SizeFormat 
cotterj_article_post_025.pdf415.12 kBAdobe PDFDownload
Title: Modeling long memory in REITs
Authors: Cotter, John
Simon Stevenson, Simon
Permanent link:
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

Show full item record

Citations 10

Last Week
Last month
checked on Aug 17, 2018

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.