References
- Baillie, R. T., T. Bollerslev, and H. O. Mikkelsen. 1996. “Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 74: 3–30. doi:10.1016/S0304-4076(95)01749-6.
- Conrad, C., and M. Karanasos. 2006. “The Impulse Response Function of the Long Memory GARCH Process.” Economics Letters 90: 34–41. doi:10.1016/j.econlet.2005.07.001.
- Cotter, J., and S. Stevenson. 2008. “Modeling Long Memory in Reits.” Real Estate Economics 36: 533–554. doi:10.1111/reec.2008.36.issue-3.
- De Long, J. B., A. Shleifer, H. L. Summers, and J. R. Waldmann. 1990. “Noise Trader Risk in Financial Markets.” Journal of Political Economy 98: 703–738.
- Hou, Y., and S. Li. 2014. “The Impact of the CSI 300 Stock Index Futures: Positive Feedback Trading and Autocorrelation of Stock Returns.” International Review of Economics & Finance 33: 319–337. doi:10.1016/j.iref.2014.03.001.
- Koutmos, G. 1997. “Feedback Trading and the Autocorrelation Pattern of Stock Returns: Further Empirical Evidence.” Journal of International Money and Finance 16: 625–636. doi:10.1016/S0261-5606(97)00021-1.
- Liow, K. H. 2009. “Long-term memory in Volatility: Some evidence from International Securitized Real Estate Markets.” The Journal of Real Estate Finance and Economics 39: 415–438. doi:10.1007/s11146-008-9120-8.
- Sentana, E., and S. Wadhwani. 1992. “Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data.” The Economic Journal 102: 415–425.
- Shiller, R. J. 1990. “Market Volatility and Investor Association.” American Economic Review 80: 58–62.
- Stevenson, S. 2002. “Momentum Effects and Mean Reversion in Real Estate Securities.” Journal of Real Estate Research 23: 47–64.