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- W2099349746 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." @default.
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- W2099349746 date "2006-10-01" @default.
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- W2099349746 title "Testing the Continuous Semimartingale Hypothesis for the S&P 500" @default.
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- W2099349746 doi "https://doi.org/10.1198/073500106000000341" @default.
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