test of efficiency for the S&P 500 index option market using variance forecasts
By: Jaesun Noh, Robert F. Engle, Alex Kane.
Contributors: Engle, R. F.; Kane, Alex.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper no. 4520; Working paper series (National Bureau of Economic Research) -- working paper no. 4520.
Publisher: National Bureau of Economic Research
Published: 1993
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 29
Subjects: Stock options -- Prices -- Forecasting.; Stock options -- United States.; Stock-exchange -- United States -- Econometric models.
Notes: "November, 1993."

Includes bibliographical references (p. 25-26).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.

Bound with: Trade policy, exchange rates and growth.