摘要翻译：
讨论了金融市场中的非平稳性问题，并将其与价格波动的动态性联系起来。提出了一种新的资产波动率估计方法。对波动率和平方收益的显著序列自相关的出现提出了一个简单和说明性的解释。结果表明，当非平稳性消除后，自相关显著减小，在统计上变得不显著。讨论了收益概率分布非高斯性的原因。对于股票和货币市场的数据样本，结果表明，去除非平稳分量可以显著降低分布的峰度，使其更接近于高斯分布。提出了控制波动率经验值平滑程度的统计准则。提出了波动率平滑、非随机的假设，并讨论了波动率移动的可能原因。
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英文标题：
《Resilience of Volatility》
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作者：
Sergey S. Stepanov
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最新提交年份：
2009
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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：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is suggested of the emergence of significant serial autocorrelations in volatility and squared returns. It is shown that when non-stationarity is eliminated, the autocorrelations substantially reduce and become statistically insignificant. The causes of non-Gaussian nature of the probability of returns distribution are considered. For both stock and currency markets data samples, it is shown that removing the non-stationary component substantially reduces the kurtosis of distribution, bringing it closer to the Gaussian one. A statistical criterion is proposed for controlling the degree of smoothing of the empirical values of volatility. The hypothesis of smooth, non-stochastic nature of volatility is put forward, and possible causes of volatility shifts are discussed.
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PDF链接：
https://arxiv.org/pdf/0911.5048