haku: @indexterm QUANTITATIVE TECHNIQUES / yhteensä: 178
viite: 57 / 178
| Tekijä: | Jokivuolle, E. |
| Otsikko: | Measuring true stock index value in the presence of infrequent trading |
| Lehti: | Journal of Financial and Quantitative Analysis
1995 : SEP, VOL. 30:3, p. 455-464 |
| Asiasana: | FINANCIAL ANALYSIS QUANTITATIVE TECHNIQUES TRADE |
| Kieli: | eng |
| Tiivistelmä: | Based on the Beveridge-Nelson (1981) decomposition of an ARIMA process, the author presents a measure of true stock index value that is not directly observable due to infrequent trading of stocks. The technique is illustrated with daily observations of the Russel 2000 index. This new measure might well prove useful in studies of lead-lag relationships between index derivatives and spot market and futures basis measurements. One consequence of infrequent trading is the spurious serial correlation it induces in the observed index returns. |
SCIMA