Jokivuolle, Esa - In: Journal of Financial and Quantitative Analysis 30 (1995) 03, pp. 455-464
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...