The Dynamics of Long Memory in Return and Volatility for International Real Estate Markets
39 Pages Posted: 28 Feb 2006
Date Written: February 21, 2006
This study presents an investigation as to whether persistence in international real estate market return and volatility takes the form of long memory using a battery of five econometric tests on total-hedged and public real estate series. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory for some Asia-Pacific real estate markets. Our additional empirical evidence suggest overall the long memory effect in volatility appears to be real and is less likely to be caused by shifts in variance for some Asia-Pacific real estate markets. Hence these national real estate markets are segmented based on a fractionally integrated structure that is able to provide diversification benefits in international investing.
Keywords: long memory, real estate return, real estate volatility, fractal structure
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