Modeling Long Memory in REITs

22 Pages Posted: 4 Aug 2008

See all articles by John Cotter

John Cotter

University College Dublin; University of California, Los Angeles (UCLA) - Anderson School of Management

Simon Stevenson

City University London - The Business School

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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.

Suggested Citation

Cotter, John and Stevenson, Simon, Modeling Long Memory in REITs. Real Estate Economics, Vol. 36, Issue 3, pp. 533-554, Fall 2008, Available at SSRN: https://ssrn.com/abstract=1189951 or http://dx.doi.org/10.1111/j.1540-6229.2008.00221.x

John Cotter (Contact Author)

University College Dublin ( email )

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University of California, Los Angeles (UCLA) - Anderson School of Management ( email )

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Los Angeles, CA 90095-1481
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Simon Stevenson

City University London - The Business School ( email )

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London, EC1Y 8TZ
United Kingdom

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