摘要翻译：
本文论证了Bollerslev和Engle(1993)提出的协同持久性理论的缺陷，这些缺陷导致该理论难以应用。本文通过引入衰变系数的半衰期作为持久性的度量，并结合方差中持久性和协同持久性的弱定义，尝试用穷举搜索算法求解协同持久性向量来解决这一问题。此外，本文还对10个欧洲国家股票收益率波动的共持续性进行了实证研究。
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英文标题：
《Common persistence in conditional variance: A reconsideration》
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作者：
Chang-Shuai Li
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最新提交年份：
2011
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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：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.
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PDF链接：
https://arxiv.org/pdf/1112.1363