%0 Journal Article
%T The Research on Capital Asset Pricing Model Based on Persistence of Conditional Variances in High-frequency Data<br>基于高频方差持续的资本资产定价模型研究
%A TANG Yong
%A ZHANG Shi-ying
%A ZHANG Rui-feng
%A <br>唐　勇
%A 张世英
%A 张瑞锋
%J 系统工程理论与实践
%D 2006
%I 
%X The corresponding models of realized volatility and realized covariance of time series of high-frequency finance are brought forward and the realized volatility-autoregressive and moving average(RV-ARMA)model and the realized volatility-vector autoregressive(RV-VAR) model are set up.The persistence definition and correlative character of high-frequency time series are given at the time.Based on the RV-ARMA model,it is discussed that the persistence of conditional variances has a effect on capital asset pricing model(CAPM) from persistence viewpoint.Moreover,we analyze the persistence of multi-asset portfolio which follows a RV-VAR process.Based on the RV-ARMA model,the empirical analysis points out the facts that the conditional variances have a persistent effect on capital asset pricing in model with root.Finally,the realistic meaning of persistence character of conditional variances in finance analysis is discussed.
%K conditional variance
%K persistence
%K capital asset pricing model<br>条件方差
%K 持续性
%K 资本资定价模型
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=E75A51896663CC3D&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=F3090AE9B60B7ED1&sid=9CF7A0430CBB2DFD&eid=7801E6FC5AE9020C&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=18