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  5. The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange
 
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The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange

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Author(s)
Cotter, John 
McKillop, Donal G. 
Uri
http://hdl.handle.net/10197/1635
Date Issued
April 2000
Date Available
20T17:07:48Z November 2009
Abstract
This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects and the influence of an asset's conditional variance from the raw returns series. Alternative distributional models from the stable paretian and ARCH families are examined for their applicability to futures data using a stability under additions. The results conclusively reject the hypothesis that futures returns are normally distributed with findings in favour of two related hypotheses – the mixtures of stable distribution and the ordinary stable distribution.
Type of Material
Journal Article
Publisher
Blackwell
Journal
Journal of Business Finance & Accounting
Volume
27
Issue
3 & 4
Start Page
487
End Page
510
Copyright (Published Version)
Blackwell Publishers Ltd. 2000
Keywords
  • Distribution of futur...

  • Stability under addit...

  • Stable distribution

  • Mixtures of distribut...

  • GARCH-M

Subject – LCSH
London International Financial Futures Exchange
Futures--Econometric models
Analysis of variance
DOI
10.1111/1468-5957.00322
Web versions
http://dx.doi.org/10.1111/1468-5957.00322
Language
English
Status of Item
Peer reviewed
ISSN
0306-686X
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
Owning collection
Business Research Collection
Scopus© citations
5
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Jan 27, 2023
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