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, 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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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s11146-008-9120-8

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