Autocorrelations, returns and Australian financial futures

Robert Brooks and Paul Michaelides

Applied Economics Letters, 1995, vol. 2, issue 10, 323-326

Abstract: This paper explores whether predictable autocorrelation structures exist in returns data on Australian financial futures. We explore the data using power transformations and find that for the bank accepted bills market there are potential gains from this strategy.

Date: 1995
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DOI: 10.1080/758518980

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