A strategy for trading the S&P 500 futures market
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DOI: 10.1007/BF02759687
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References listed on IDEAS
- Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
- E.A. Olszewski, 1998. "Assessing inefficiency in the futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(6), pages 671-704, September.
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