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Time series behaviour of asset prices: evidence from UK futures markets

Fraser, Patricia and Mckaig, Andrew J.

Time series behaviour of asset prices: evidence from UK futures markets J4767 1998 - 1998 - 143-155 V. 3 Issue. 2

Subjects--Topical Terms:
Finance and Economics

Subjects--Index Terms: Nearest to maturity futures contracts;Mean reversion;Persistence;Multivariate cointegration;Market efficiency;Time varying equilibrium returns;

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