Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets

Kim Liow ()

The Journal of Real Estate Finance and Economics, 2009, vol. 39, issue 4, pages 415-438

Keywords: Long memory volatility; Fractional differencing; Conditional variance; Securitized real estate markets; Market efficiency (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:kap:jrefec:v:39:y:2009:i:4:p:415-438

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