Long memory in interest rate futures mar
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G. Geoffrey Booth; Yiuman Tse
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Article
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1995
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John Wiley and Sons
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English
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CCC 0270-731 41951050573-I 2 'The robustness to conditional heteroskedastic effects and variance shifts is crucial, since, as pointed out by Milonas et al. (1 985), results of futures price dynamics may be biased by variance nonstationarity.