✦ LIBER ✦

Response to a comment on “stable distributions, futures prices, and the measurement of trading performance”

✍ Scribed by Dr. Ronald W. Cornew

Publisher: John Wiley and Sons
Year: 1986
Tongue: English
Weight: 260 KB
Volume: 6
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990060413

No coin nor oath required. For personal study only.

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✍ John Doukas; Abdul Rahman 📂 Article 📅 1986 🏛 John Wiley and Sons 🌐 English ⚖ 111 KB

For a given commodity of currency, CTC formed a time series of price changes, Pk = In(Ck I Ck-J, k = 1, 2, . , n, where C, is the daily closing price.

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✍ J. Austin Murphy 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 188 KB

n a recent note, Doukas and Rahman (1986) cited a well-known statistical fact I that assets with changing variances may exhibit leptokurtosis and non-normality, even when the true distribution is normal (Perry, 1983). Also, citing the Samuelson (1965) hypothesis that futures price volatility may inc