๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On the Distribution of Financial Futures Price Changes

โœ Scribed by Andrew J. Sterge


Book ID
124933963
Publisher
CFA Institute
Year
1989
Tongue
English
Weight
562 KB
Volume
45
Category
Article
ISSN
0015-198X

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


The distribution of standardized futures
โœ Meenakshi Venkateswaran; B. Wade Brorsen; Joyce A. Hall ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 978 KB

Gribbin et al. (1992) argue that futures prices are not stable paretian distributed. But, Liu and Brorsen (1992) argue that Cribbin et al. have shown that futures prices are not identically independently stably distributed, but that a stable distribution with time varying scale parameter cannot be r

An examination of the distribution of fu
โœ Billy P. Helms; Terrence F. Martell ๐Ÿ“‚ Article ๐Ÿ“… 1985 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 604 KB

n the finance literature considerable attention has been given to the distribution I of stock and commodity price changes. Contributing to this body of literature, this study examines the distribution of successive intraday price changes in various financial and nonfinancial futures contracts. Two d

The daily distribution of changes in the
โœ Edward A. Dyl; Edwin D. Maberly ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 592 KB

any empirical studies of daily returns on common stocks and other financial M assets in United States markets have reported daily. patterns that are seemingly inexplicable (Cross, 1973, French, 1980, Gibbons and Hess, 1981 and Keim and Stambaugh, 1984). Recently, Jaffe and Westerfield (1985) report

The effect of monetary surprises on fina
โœ R. S. Woodward ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 589 KB

number of articles have emerged over the past five years which have examined A the impact of money supply announcements on the market prices of assets. Some studies focus on the effect of monetary innovations on foreign exchange prices while others consider their impact on market interest rates. ' ,

Modeling nonlinear dynamics of daily fut
โœ Gao, Andre H.; Wang, George H. K. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 268 KB ๐Ÿ‘ 1 views

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