%0 Journal Article
%T Study on Volatility Copersistence Based on Realized Volatility and Its Application<br>基于“已实现”波动的协同持续研究及其应用
%A GUO Ming-yuan
%A ZHANG Shi-ying
%A <br>郭名媛
%A 张世英
%J 系统工程理论与实践
%D 2006
%I 
%X 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.
%K realized volatility
%K fractionally integrated
%K persistence
%K copersistence<br>"已实现"波动
%K 分数维单整
%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=825262A2ED78911A&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=94C357A881DFC066&sid=340AC2BF8E7AB4FD&eid=6209D9E8050195F5&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=12