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

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Show simple item record Cotter, John McKillop, Donal G. 2009-11-20T17:07:48Z 2009-11-20T17:07:48Z Blackwell Publishers Ltd. 2000 en 2000-04
dc.identifier.citation Journal of Business Finance & Accounting en
dc.identifier.issn 0306-686X
dc.description.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. en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Blackwell en
dc.subject Distribution of futures returns en
dc.subject Stability under additions test en
dc.subject Stable distribution en
dc.subject Mixtures of distributions en
dc.subject GARCH-M en
dc.subject.lcsh London International Financial Futures Exchange en
dc.subject.lcsh Futures--Econometric models en
dc.subject.lcsh Analysis of variance en
dc.title The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange en
dc.type Journal Article en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text available en
dc.internal.webversions en
dc.status Peer reviewed en
dc.identifier.volume 27 en
dc.identifier.issue 3 & 4 en
dc.identifier.startpage 487 en
dc.identifier.endpage 510 en
dc.identifier.doi 10.1111/1468-5957.00322
dc.neeo.contributor Cotter|John|aut|UCD0043 en
dc.neeo.contributor McKillop|Donal G.|aut| en

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