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Testing the Continuous Semimartingale Hypothesis for the SP 500

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  • Peters, Remco T.
  • de Vilder, Robin G.

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  • Peters, Remco T. & de Vilder, Robin G., 2006. "Testing the Continuous Semimartingale Hypothesis for the SP 500," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 444-454, October.
    • Handle: RePEc:bes:jnlbes:v:24:y:2006:p:444-454
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    Cited by:

    1. Yuta Kurose & Yasuhiro Omori, "undated". "Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1075, CIRJE, Faculty of Economics, University of Tokyo.
    2. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    3. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
    4. Kurose, Yuta & Omori, Yasuhiro, 2020. "Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity," Econometrics and Statistics, Elsevier, vol. 13(C), pages 46-68.
    5. Yuta Kurose & Yasuhiro Omori, 2016. "Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1024, CIRJE, Faculty of Economics, University of Tokyo.
    6. Yingjie Dong & Yiu-Kuen Tse, 2017. "Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility," Econometrics, MDPI, vol. 5(4), pages 1-19, November.
    7. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.

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