Research on the relationship of co-persistence based on high-frequency financial time series
Ruifeng Zhang · Journal of systems engineering · 2006
The corresponding model of realized covariance matrix of in this paper vector high-frequency financial time series is brought forward and the realized vector autoregressive model is set up is this paper.The necessary and sufficient condition of the existence of linear co_persistence in this model and the method of seeking the co_persistence discussed by applying the concepts of persistence co-persistence proposed by Bollerslev and Engle.Under these bases,it is indicated that the co_persistence does not exist in Shanghai and Shenzhen stock markets through empirical analysis.Finally,the meaning and action in dynamic portfolio and risk avoiding are pointed out.