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Testing for time-varying long-range dependence in real state equity returns

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  • Cajueiro, Daniel O.
  • Tabak, Benjamin M.

Abstract

In this paper real estate equity markets are examined. Time-varying Hurst exponents are estimated for real estate equity markets and empirical evidence suggests that such markets possess strong long range dependence for both returns and volatility. This is true for both developed and Asian emerging real estate equity indices. This evidence has important implications for asset pricing and portfolio and risk management.

Suggested Citation

  • Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.
    • Handle: RePEc:eee:chsofr:v:38:y:2008:i:1:p:293-307
    DOI: 10.1016/j.chaos.2006.11.023
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