Autocorrelations, Returns and Australian Financial Futures
This 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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|Date of creation:||1995|
|Date of revision:|
|Contact details of provider:|| 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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