Memory in interest rate futures

Fung, Hung‐Gay; Lo, Wai-Chung

doi:10.1002/fut.3990130804

Cited by 22 publications

(13 citation statements)

References 22 publications

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“…The results indicate that for the two contracts with different trading days toward maturity, the RR and MRR statistics are less than the critical value of 1.862, a finding indicating no long memory. The result of no long memory is consistent with two recent studies using MRR procedure in interest rate and currency futures markets [Fung and Lo (1993); Kao and Ma (1992)l. However, Helms, Kaen and Rosenman ( 1984) found long-memory in the agricultural futures prices.…”

Section: Ekman (1992) Documents High Return Volatility For the Sandp 50supporting

confidence: 93%

Examining the dependency in intra‐day stock index futures

Fung

Peterson

1994

Journal of Futures Markets

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Section: Ekman (1992) Documents High Return Volatility For the Sandp 50supporting

confidence: 93%

Examining the dependency in intra‐day stock index futures

Fung

Peterson

1994

Journal of Futures Markets

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“…According to his results quite often long-term memory detection can be explained by mistakes in methodology caused by the presence of short-memory. Lo (1991) and other authors, who used his methodology (Fung and Lo (1993), Cheung and Lai (1993), Crato (1994)) proved the fact of the absence of long-term memory on the main financial markets.…”

Section: Analysis Of Key Theoretical Concepts Explaining Financial Mamentioning

confidence: 92%

Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

Mynhardt

Plastun²,

Makarenko³

2014

COC

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This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis we show the reasons of inefficiency of financial markets and provide some recommendations on their solution and thus improving the efficiency.

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“…Using new statistical tools, many authors (Cheung & Lai, 1993;Crato, 1994;Fung & Lo, 1993) have found that financial returns on the major markets have no significant memory. However, the original claims of Helms et al (1984) concerning the memory of futures' returns never were reevaluated in light of the new statistical tools.…”

Section: Introductionmentioning

confidence: 99%

Memory in returns and volatilities of futures' contracts

Crato

Ray

2000

J. Fut. Mark.

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Various authors claim to have found evidence of stochastic long-memory behavior in futures' contract returns using the Hurst statistic. This paper reexamines futures' returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the longmemory parameter. Results based on these new methods provide no evidence for persistent behavior in futures' returns. However, they provide overwhelming evidence of long-memory behavior for the volatility of futures' returns. This finding adds to the emerging literature on persistent volatility in financial markets and suggests the use of new methods of forecasting volatility, assessing risk, and optimizing portfolios in futures' markets.

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Memory in interest rate futures

Cited by 22 publications

References 22 publications

Examining the dependency in intra‐day stock index futures

Examining the dependency in intra‐day stock index futures

Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

Memory in returns and volatilities of futures' contracts

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