Modeling Long Memory in REITs

John Cotter and Simon Stevenson

Real Estate Economics, 2008, vol. 36, issue 3, 533-554

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.

Date: 2008
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https://doi.org/10.1111/j.1540-6229.2008.00221.x

Related works:
Working Paper: Modeling Long Memory in REITs (2011)
Working Paper: Modelling Long Memory in REITs (2011)
Working Paper: Modeling Long Memory in REITs (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:36:y:2008:i:3:p:533-554

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