摘要
目前文献中对金融波动持续性和协同持续性的研究都是以低频金融数据为研究对象的.而随着信息技术的发展,高频金融数据的储存和获取更加便利.针对高频金融数据,采用“已实现”波动作为新的波动度量方法,并且给出基于“已实现”波动的金融时间序列波动持续性和协同持续性的定义,并且采用上海股票市场和深圳股票市场的高频金融数据对两个股票市场的波动的持续性和协同持续性进行了实证研究.
In previous research papers, the research on volatility persistence and volatility copersistence is based on low-frequency data. With the development of the information technology, high-frequency data can be stored and obtained more easily. In this paper, we use realized volatility as a new volatility estimator which is based on high-frequency data. Then we define volatility persistence and volatility copersistence based on realized volatility. In addition, we do empirical research on volatility persistence and volatility copersistence using the high-frequency data of Chinese stock markets.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2006年第5期30-35,共6页
Systems Engineering-Theory & Practice
基金
国家自然科学基金项目(70471050)
作者简介
郭名媛（1979-）,女,天津大学管理学院讲师,研究方向为金融系统分析,E-mail：leu2@eyou.com.
