Modeling Long Memory in REITs
研究了房地产投资信托基金（REITs）日度收益的绝对值和平方值等风险指标的长记忆性，发现其波动存在持续性，且交易量与长记忆密切相关，结果与更广泛的股票市场存在差异。
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.