IDEAS home Printed from https://ideas.repec.org/p/rru/cfmwps/10197-1171.html
   My bibliography  Save this paper

Modeling long memory in REITs

Author

Listed:
  • John Cotter
  • Simon Stevenson

Abstract

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 a non-REIT equity index. 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. Trading volume is found to be strongly associated with long memory. The results do however suggest differences in the findings with regard to REITs in comparison to the broader equity sector which may be due to relatively thin trading during the sample period.

Suggested Citation

  • John Cotter & Simon Stevenson, 2006. "Modeling long memory in REITs," Centre for Financial Markets Working Papers 10197/1171, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1171
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10197/1171
    File Function: First version, 2006
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rru:cfmwps:10197/1171. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joseph Greene (email available below). General contact details of provider: https://edirc.repec.org/data/cfucdie.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.