On the Nature of Dependence in the Volatility of US Stock Returns

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英文文献：On the Nature of Dependence in the Volatility of US Stock Returns
英文文献作者：Michelle L. Barnes
英文文献摘要：
Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size, standard deviation of returns, and firm's beta.

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