Testing the Continuous Semimartingale Hypothesis for the S&P 500
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| Publication date | 2006 |
| Journal | Journal of Business & Economic Statistics |
| Volume | Issue number | 24 | 4 |
| Pages (from-to) | 444-454 |
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| Abstract |
Abstract: 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 |
| Document type | Article |
| Published at | https://doi.org/10.1198/073500106000000341 |
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