AUTOCORRELATIONS, RETURNS AUSTRALIAN FINANCIAL FUTURES

Authors
BROOKS RD MICHAELIDES PS
Citation
Rd. Brooks et Ps. Michaelides, AUTOCORRELATIONS, RETURNS AUSTRALIAN FINANCIAL FUTURES, Applied economics letters, 2(10), 1995, pp. 323-326
Citations number
9
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
2
Issue
10
Year of publication
1995
Pages
323 - 326
Database
ISI
SICI code
1350-4851(1995)2:10<323:ARAFF>2.0.ZU;2-E
Abstract
This paper explores whether predictable autocorrelation structures exi st in returns data on Australian financial futures. We explore the dat a using power transformations and find that for the bank accepted bill s market there are potential gains from this strategy.