Autocorrelations, Returns and Australian Financial Futures
AbstractThis paper explores whether predictable autocorrelation structures exist in returns data on Australian financial futures. We explore the data using power transformations and find that for the bank accepted bills market there are potential gains from this strategy.
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Bibliographic InfoPaper provided by Melbourne - Centre in Finance in its series Papers with number 95-9.
Length: 10 pages
Date of creation: 1995
Date of revision:
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Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.
Phone: +61 3 9925 5858
Fax: +61 3 9925 5986
Web page: http://www.rmit.edu.au/bus/ecofin
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ECONOMETRICS; FINANCIAL MARKETS;
Other versions of this item:
- Robert Brooks & Paul Michaelides, 1995. "Autocorrelations, returns and Australian financial futures," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 323-326.
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- McKenzie, Michael D., 1999. "Power transformation and forecasting the magnitude of exchange rate changes," International Journal of Forecasting, Elsevier, vol. 15(1), pages 49-55, February.
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