The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange
Files in This Item:
|cotterj_article_post_024.pdf||176.39 kB||Adobe PDF||Download|
|Title:||The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange||Authors:||Cotter, John
McKillop, Donal G.
|Permanent link:||http://hdl.handle.net/10197/1635||Date:||Apr-2000||Online since:||2009-11-20T17:07:48Z||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 futures returns; Stability under additions test; Stable distribution; Mixtures of distributions; GARCH-M||Subject LCSH:||London International Financial Futures Exchange
Analysis of variance
|DOI:||10.1111/1468-5957.00322||Other versions:||http://dx.doi.org/10.1111/1468-5957.00322||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Business Research Collection|
Show full item record
Page view(s) 20118
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.