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- W3122539704 abstract "Based on the Beveridge-Nelson (1981) decomposition of an ARIMA process I present a measure of true stock index value which is not directly observable due to infrequent trading of stocks. The technique is illustrated with daily observations of the Russell 2000 index (R). This new measure might well prove useful in studies of, say, lead-lag relationships between index derivatives and spot market, and futures basis measurements." @default.
- W3122539704 created "2021-02-01" @default.
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- W3122539704 date "1998-08-25" @default.
- W3122539704 modified "2023-09-23" @default.
- W3122539704 title "Measuring True Stock Index Value in the Presence of Infrequent Trading" @default.
- W3122539704 hasPublicationYear "1998" @default.
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