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英文文献：The Effect of Long Memory in Volatility on Stock Market Fluctuations-波动率的长记忆对股票市场波动的影响
英文文献作者：Bent Jesper Christensen,Morten ?rregaard Nielsen
英文文献摘要：
Recent empirical evidence demonstrates the presence of an important long memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross- equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive risk-return trade-off and long memory in volatility.
最近的经验证据表明，在已实现的资产回报波动中存在一个重要的长记忆成分。我们为股票回报和波动的联合动力学指定并估计了多元模型，允许波动的长时间记忆，而不把这个属性强加给回报。资产定价理论对系统施加了可测试的交叉方程限制，在我们的首选规格中没有被拒绝，其中包括强大的财务杠杆效应。我们表明，波动冲击对股价的影响是小的和短暂的，尽管有积极的风险回报权衡和对波动的长期记忆。
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