Features of Financial Returns

Stephen J. Taylor
Additional contact information
Stephen J. Taylor: Lancaster University, UK

Chapter 2 in Modelling Financial Time Series, 2007, pp 26-61 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sectiong are included:CONSTRUCTING FINANCIAL TIME SERIESSourcesTime scalesAdditional informationUsing futures contractsPRICES STUDIEDSpot pricesFutures pricesCommodity futuresFinancial futuresExtended seriesAVERAGE RETURNS AND RISK PREMIAAnnual expected returnsCommon stocks and ordinary sharesSpot commoditiesSpot currenciesCommodity futuresSTANDARD DEVIATIONSRisks comparedFutures and contract ageCALENDAR EFFECTSDay-of-the-weekStocksCurrenciesAgricultural futuresStandard deviationsMonth-of-the-year effects for stocksSKEWNESSKURTOSISPLAUSIBLE DISTRIBUTIONSAUTOCORRELATIONFirst-lagLags 1 to 30TestsNON-LINEAR STRUCTURENot strict white noiseA characteristic of returnsNot linearConsequences of non-linear structureSUMMARYAPPENDIX 2(A) AUTCORRELATION CAUSED BY DAY-OF-THE-WEEK EFFECTSReturnsSquared returnsAPPENDIX 2(B) AUTOCORRELATIONS OF A SQUARED LINEAR PROCESS

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812770851_0002 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812770851_0002 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812770851_0002

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().