This article examines the issues encountered in the modeling of market fundamentals during a period of extreme price behavior. The study analyzes the price behavior of the residential property market in Ireland using a number of alternative methodological approaches in the estimation of...

One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate investment trust (REITs) and compares the findings for a market equity...