McKillop, Donal G.

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McKillop, Donal G.
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McKillop, Donal G.

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  • Publication
    The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange
    (Blackwell, 2000-04)
    Cotter, John 
    ;
    McKillop, Donal G. 
    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.
      560Scopus© Citations 5