A test of efficiency for the S&P 500 index option market using the generalized spectrum method
Henry H. Huang, Kent Wang, Zhanglong Wang
| Year of publication: |
March 2016
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|---|---|
| Authors: | Huang, Henry H. ; Wang, Kent ; Wang, Zhanglong |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 64.2016, p. 52-70
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| Subject: | Model-Free Forward Variance | Spectral density test | Index jump | Market efficiency | Effizienzmarkthypothese | Efficient market hypothesis | Index-Futures | Index futures | Aktienindex | Stock index | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |