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Review of Empirical Evidence
Specification of Empirical Tests
2 other sections not shown
arbitrage AUSTRALIAN FINANCIAL FUTURES autocorrelation BEHAVIOUR IN AUSTRALIAN Bera and Jarque bill futures coefficients commodity futures conditional heteroskedasticity contract dummies contract maturity date contract month crash currency futures Descriptive Statistics destabilising EFFICIENCY TESTS BASED empirical equation EUNIVER evidence expected capital growth financial futures markets Full Sample future spot prices futures and spot futures contracts futures premium futures trading volumes GRANGER CAUSALITY inefficiency interest rate contracts investors kurtosis Lag Length lead spot price lead-lag relationship lOSANCEl lOSANCElfj M.L. Edey market efficiency market fundamentals normal distribution null hypothesis OFCAIIFOR paper pre-crash period Pre-Crash Sample predict price innovation Rational Expectations regression risk aversion share index futures share price index short selling constraints speculative SPI Bills Bonds SPI contract SPI futures spot and futures spot market spot price volatility suggest Sydney Futures Exchange Termination of trading transactions costs UBRARYQ variability of spot volume RHS W.J. McKibbin white noise y0Aavaan zero