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英文文献：Aggregation of Short-Memory Processes, the Volatility of Stock Market Return Indices and Long Memory
英文文献作者：Michelle L. Barnes
英文文献摘要：
Monte Carlo simulation methods are used to generate independent series with short memory in volatility. Partial sums of there short memory series are formed and the volatilities of these partial sums are tested for long memory. Aggregating series with short memory valatilities results in indices that exhibit long memeory in volatility. As no long memory inherent in the volatility of the individual series themselves, it is clear that long memory arises solely from the process of aggregation. Such partial sums have empirical analogues, such as the SP 500, the Nikkei, ect. This study also performs long memory tests on the volatility of individual return series from GRSP.
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