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

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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
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
Copyright (published version): Blackwell Publishers Ltd. 2000
Keywords: Distribution of futures returnsStability under additions testStable distributionMixtures of distributionsGARCH-M
Subject LCSH: London International Financial Futures Exchange
Futures--Econometric models
Analysis of variance
DOI: 10.1111/1468-5957.00322
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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