In this paper, from the idea of common trend, we put forward the definition of co persistence in volatility of vector SV model, and establish the equivalent relationship between common persistence in volatility and cointegration.

 
  • 提出了向量隨機波動(dòng)模型波動(dòng)協(xié)同持續 ( common persistence in volatility)的定義 ,證明了波動(dòng)協(xié)同持續與協(xié)整 ( cointegration)兩者之間的等價(jià)關(guān)系 ;
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