We examine the return and volatility of the Standard & Poor's/Case--Shiller (S&P/CS) real estate indices for evidence of long memory in the form of fractional differencing. Examining the long memory properties of these indices is relevant, in part, because effectively hedging real estate price...

Using a large sample of monthly gross flows from 1997 to 2003, we uncover several previously undocumented regularities in investor behavior. First, investor purchases and sales produce fund-level gross flows that are highly persistent. Persistence in fund flows dominates performance as a...

This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intra-day data, sampled at 5-min frequency, for four currencies for the period 2005–2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9–15% of currency jumps...