上海管理科学2017，Vol.39Issue(5)：20-27,8.
指数成分股的高频波动相关性衡量与探究
The Correlation of High-frequency Volatility among Index Constituent Stocks
王彦玮1
作者信息
- 1. 上海交通大学安泰经济与管理学院,上海200030
- 折叠
摘要
Abstract
This paper will study the high-frequency volatility of index from a brand-new perspective.The volatility of index will be decomposed into two separate dimensions-sum of volatility and correlation of volatility.The consistency between these two dimensions and the volatility of index will be checked and demonstrated separately under increasing stage,decreasing stage and fluctuating stage.Finally,this two variables will be applied to construct prediction equation for volatility which will be compared with other prediction models.关键词
高频波动/个股波动/波动相关性Key words
high-frequency volatility/sum of volatility/correlation of volatility分类
管理科学引用本文复制引用
王彦玮..指数成分股的高频波动相关性衡量与探究[J].上海管理科学,2017,39(5):20-27,8.
