Modeling nonlinear dynamics of daily fut
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Gao, Andre H.; Wang, George H. K.
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Article
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1999
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John Wiley and Sons
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English
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The purpose of this article is to characterize linear and nonlinear serial dependence in daily futures price changes. The daily prices of four futures are included in this study: (i) S&P 500; (ii) Japanese yen; (iii) Deutsche mark; and (iv) Eurodollar. Our major empirical findings are: (i) Based on