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 (2000-05)
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.
- Cotter, John & McKillop, Donal G., 2000. "The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange," Open Access publications from University College Dublin urn:hdl:10197/1635, University College Dublin.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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