标题： REITs中长期记忆的建模 显示英文标题

标题： Modeling Long Memory in REITs

摘要： 金融波动的一个典型特征是长期记忆，这会影响建模过程。 本文研究了替代风险度量的长期记忆性，观察到每日REITs的绝对和平方收益，并将这些发现与非REIT股票指数进行比较。 本文使用了多种长期记忆检验方法，发现REIT波动确实表现出持续性，这与实际收益序列形成对比。 交易量被发现与长期记忆有很强的相关性。 然而，结果表明在REITs与更广泛的股票部门之间存在差异，这可能是由于样本期内交易量相对较少所致。 显示英文摘要

摘要： 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.