Cotter, John; McKillop, Donal G. - In: Journal of Business Finance & Accounting 27 (2000-05) 3&4, pp. 487-510
This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects and the influence of an asset's conditional variance from the raw returns...