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Type: Artigo
Title: Testing for time-varying long-range dependence in real state equity returns
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: 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.
Citation: 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.
Access Type: Acesso Aberto
Document date: 2008
Appears in Collections:PPG - Revistas e Artigos Científicos

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