R.G. de Vilder
- Testing the Continuous Semimartingale Hypothesis for the S&P 500
- Journal of Business & Economic Statistics
- Volume | Issue number
- 24 | 4
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
Large amounts of intraday data of the S&P 500 stock index futures are used to test the hypothesis that the log-return process, corrected for drift, is a continuous martingale. We use the time change for martingales theorem to rephrase the hypothesis and test whether the return process, corrected for drift, is a time-changed Brownian motion. This hypothesis cannot be rejected.
Keywords: CONTINUOUS SEMIMARTINGALES; FINANCIAL TIME; S AND P 500 STOCK INDEX FUTURE; TIME-CHANGED BROWNIAN MOTION
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