Modeling Long Memory in REITs

22 Pages Posted: 4 Aug 2008

See all articles by John Cotter

John Cotter

University College Dublin; UCLA Anderson School of Management

Simon Stevenson

City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

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 )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
Ireland
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

UCLA Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Simon Stevenson

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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