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Long memory in interest rate futures markets: A fractional cointegration analysis

✍ Scribed by G. Geoffrey Booth; Yiuman Tse

Publisher: John Wiley and Sons
Year: 1995
Tongue: English
Weight: 622 KB
Volume: 15
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990150505

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✦ Synopsis

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.

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