Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-008-9120-8
Title: Long-term memory in volatility: Some evidence from international securitized real estate markets
Authors: Liow, K.H. 
Keywords: Conditional variance
Fractional differencing
Long memory volatility
Market efficiency
Securitized real estate markets
Issue Date: 2009
Source: Liow, K.H. (2009). Long-term memory in volatility: Some evidence from international securitized real estate markets. Journal of Real Estate Finance and Economics 39 (4) : 415-438. ScholarBank@NUS Repository. https://doi.org/10.1007/s11146-008-9120-8
Abstract: While the long memory property is examined in the literature for the US REIT returns, this paper extends the analysis to international securitized real estate markets with the hope of finding answers or confirming prior stock market evidence regarding the presence (or absence) of long memory volatilities for 40 weekly real estate indices (original and hedged). Using a battery of five econometric tests on three alternative risk measures; weekly observed absolute and squared mean deviations and conditional variances, we find statistically significant evidence of long memory in the volatility structure of most securitized real estate markets studied. Volatility persistence is particularly strong in Asia, but is not consistent throughout the period of study. © Springer Science+Business Media, LLC 2008.
Source Title: Journal of Real Estate Finance and Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/46184
ISSN: 08955638
DOI: 10.1007/s11146-008-9120-8
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