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英文文献：Pricing Volatility of Stock Returns with Volatile and Persistent Components-具有波动和持久成分的股票回报的定价波动
英文文献作者：Jie Zhu
英文文献摘要：
In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process.
本文引入了一种基于分量一阶矩的双分量波动模型来描述投机收益波动的动态。这两个组件分别捕获挥发性的挥发性和持久性部分。然后将该模型应用于亚太10个股票市场。还测试了它们对回报的平均效应。实证结果表明，持续成分比波动成分更能反映波动的动态过程。然而，对于大多数市场而言，波动成分是资产收益的一个显著的定价因素，收益率与波动成分之间存在正效应或风险溢价效应，而对于收益的动态过程，持久成分的定价不显著。
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