Research on Arbitrage Pricing Model Having Persistence in Variance
具有方差持续性的套利定价模型研究

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.