Testing for time-varying long-range dependence in real state equity returns

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel Oliveira
Data de Publicação: 2008
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/359
https://repositorio.ucb.br:9443/jspui/handle/123456789/7570
Resumo: In this paper real estate equity markets are examined. Time-varying Hurst exponents are estimated for real estate equity markets and empirical evidence suggests that such markets possess strong long range dependence for both returns and volatility. This is true for both developed and Asian emerging real estate equity indices. This evidence has important implications for asset pricing and portfolio and risk management.
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spelling Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:55Z2016-10-10T03:51:55Z2008CAJUEIRO, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for time-varying long range dependence in real state equity returns. Chaos, Solitons and Fractals , v. 38, p. 293-307, 2008.http://twingo.ucb.br:8080/jspui/handle/10869/359https://repositorio.ucb.br:9443/jspui/handle/123456789/7570In this paper real estate equity markets are examined. Time-varying Hurst exponents are estimated for real estate equity markets and empirical evidence suggests that such markets possess strong long range dependence for both returns and volatility. This is true for both developed and Asian emerging real estate equity indices. This evidence has important implications for asset pricing and portfolio and risk management.Made available in DSpace on 2016-10-10T03:51:55Z (GMT). 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dc.title.pt_BR.fl_str_mv Testing for time-varying long-range dependence in real state equity returns
title Testing for time-varying long-range dependence in real state equity returns
spellingShingle Testing for time-varying long-range dependence in real state equity returns
Cajueiro, Daniel Oliveira
title_short Testing for time-varying long-range dependence in real state equity returns
title_full Testing for time-varying long-range dependence in real state equity returns
title_fullStr Testing for time-varying long-range dependence in real state equity returns
title_full_unstemmed Testing for time-varying long-range dependence in real state equity returns
title_sort Testing for time-varying long-range dependence in real state equity returns
author Cajueiro, Daniel Oliveira
author_facet Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
dc.description.abstract.por.fl_txt_mv In this paper real estate equity markets are examined. Time-varying Hurst exponents are estimated for real estate equity markets and empirical evidence suggests that such markets possess strong long range dependence for both returns and volatility. This is true for both developed and Asian emerging real estate equity indices. This evidence has important implications for asset pricing and portfolio and risk management.
dc.description.status.pt_BR.fl_txt_mv Publicado
description In this paper real estate equity markets are examined. Time-varying Hurst exponents are estimated for real estate equity markets and empirical evidence suggests that such markets possess strong long range dependence for both returns and volatility. This is true for both developed and Asian emerging real estate equity indices. This evidence has important implications for asset pricing and portfolio and risk management.
publishDate 2008
dc.date.issued.fl_str_mv 2008
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:55Z
dc.date.available.fl_str_mv 2016-10-10T03:51:55Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv CAJUEIRO, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for time-varying long range dependence in real state equity returns. Chaos, Solitons and Fractals , v. 38, p. 293-307, 2008.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/359
https://repositorio.ucb.br:9443/jspui/handle/123456789/7570
identifier_str_mv CAJUEIRO, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for time-varying long range dependence in real state equity returns. Chaos, Solitons and Fractals , v. 38, p. 293-307, 2008.
url http://twingo.ucb.br:8080/jspui/handle/10869/359
https://repositorio.ucb.br:9443/jspui/handle/123456789/7570
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