摘要翻译：
受聚集理论的启发，本文旨在将股票收益率波动率的长期相关性与投资者对未来波动率水平预期的异质性联系起来。基于投资者预期的半参数模型，我们将异质性参数的分布特性与已实现波动率的自协方差/自相关函数联系起来。我们报告不同的行为，或惯例的变化，其观察取决于所考虑的市场阶段。特别是，我们报告并证明了这样一个事实，即在投机泡沫阶段，波动性表现出明显比在投机泡沫破裂后的复苏阶段更长的记忆。
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英文标题：
《Heterogeneous expectations and long range correlation of the volatility
  of asset returns》
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作者：
Jerome Coulon, Yannick Malevergne
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a semi-parametric model of investors' anticipations, we make the connection between the distributional properties of the heterogeneity parameters and the auto-covariance/auto-correlation functions of the realized volatility. We report different behaviors, or change of convention, whose observation depends on the market phase under consideration. In particular, we report and justify the fact that the volatility exhibits significantly longer memory during the phases of speculative bubble than during the phase of recovery following the collapse of a speculative bubble.
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PDF链接：
https://arxiv.org/pdf/0808.1538