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摘要翻译：
影响建模过程的金融波动性的一个程式化特征是长记忆性。本文考察了替代风险度量的长记忆性，观察了REITs日绝对收益率和平方收益率，并对非REIT股票指数的发现进行了比较。本文利用多种长记忆检验，发现与实际收益率序列相比，REIT波动率确实表现出持续性。交易量被发现与长记忆有很强的关联。然而，调查结果确实表明，与更广泛的股票行业相比，REITs的调查结果存在差异，这可能是由于样本期内交易相对清淡。
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英文标题：
《Modeling Long Memory in REITs》
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作者：
John Cotter and Simon Stevenson
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1103.5414
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