The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange
AbstractThis 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. Copyright Blackwell Publishers Ltd 2000.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 27 (2000-04)
Issue (Month): 3-4 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
Other versions of this item:
- John Cotter & Donal G. McKillop, 2000. "The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3&4), pages 487-510.
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- john cotter, 2011.
"Modelling catastrophic risk in international equity markets: An extreme value approach,"
- John Cotter, 2006. "Modelling catastrophic risk in international equity markets: an extreme value approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 13-17, January.
- John Cotter, 2011. "Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach," Working Papers 200515, Geary Institute, University College Dublin.
- Cotter, John, 2006. "Modelling catastrophic risk in international equity markets: An extreme value approach," MPRA Paper 3507, University Library of Munich, Germany.
- Cotter, John, 2001.
"Margin exceedences for European stock index futures using extreme value theory,"
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Elsevier, vol. 25(8), pages 1475-1502, August.
- Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001.
- John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 489-492.
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