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Modeling Long Memory in Reits
John Cotter
Simon Stevenson
出版
SSRN
, 2007
URL
http://books.google.com.hk/books?id=XgbezwEACAAJ&hl=&source=gbs_api
註釋
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for non-REIT equity indexes. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence, in contrast to the actual return series. The results do however suggest differences in the findings in regard to REITs in comparison to the broader equity sector which may be due to relatively thin trading during the sample period.
