Despite the widespread reduction in U.S. real estate values over the past few years, the share prices of many non-traded REITs have remained at or near their initial offering levels, giving investors the illusory sense of low price volatility and preserved value. Somewhat belatedly, non-traded...

Weekends and holidays lead to gaps in daily financial data. Standard models ignore these irregularities. Because this issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of realized volatility. We suggest a simple way of adjusting...