Cervellera, Gian P.; Tucci, Marco P. - Dipartimento di Economia Politica e Statistics, … - 2014
This paper con?rms that, as originally reported in Seneta (2004, p. 183), it is impossible to replicate Madan et al.?s (1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994. This failure leads to a close investigation of the computational problems associated...
