Browsing by Subject "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

Cotter, John ; McKillop, Donal G. (Blackwell, 2000-04)

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 ...