%0 Journal Article
%T Research on Arbitrage Pricing Model Having Persistence in Variance<br>具有方差持续性的套利定价模型研究
%A LI Han-dong
%A ZHANG Shi-ying
%A <br>李汉东
%A 张世英
%J 系统工程理论与实践
%D 2002
%I 
%X This paper, based on the conceptions of persistence and common persistence, analyzes the properties of the second moments of the multi-dynamic factor model in the context of Arbitrage Pricing Theory. Moreover, the paper discusses the changes of risk premium and return when the dynamic factors show persistence and co-persistence in variance. In the end of the paper, some new conclusions are given.
%K multi-factor model
%K factor-GARCH model
%K persistence
%K co-persistence<br>多因子模型
%K 因子GARCH模型
%K 持续性
%K 协同持续性
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=19566A3A16ACE63C&yid=C3ACC247184A22C1&vid=BC12EA701C895178&iid=B31275AF3241DB2D&sid=7C3A4C1EE6A45749&eid=1AE5323881A5ECDC&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=2&reference_num=9