Measuring True Stock Index Value in the Presence of Infrequent Trading
基于ARIMA过程的Beveridge-Nelson分解，提出一种在股票非频繁交易时测量真实指数价值的方法，并用Russell 2000指数日数据演示，对研究指数衍生品与现货市场的领先滞后关系有用。
Based on the Beveridge-Nelson (1981) decomposition of an ARIMA process, I present a measure of true stock index value that is not directly observable due to infrequent trading of stocks. The technique is illustrated with daily observations of the Russell 2000 index. This new measure might well prove useful in studies of lead-lag relationships between index derivatives and spot market and futures basis measurements.