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Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets

Vortelinos, Dimitrios (2015) Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets. Review of Financial Economics, 27 . pp. 58-67. ISSN 1058-3300

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Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets

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Item Type:Article
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Abstract

This paper examines the significance of macroeconomic announcements, linearity, long memory, heterogeneity and jumps via the out-of-sample forecasting performance in mini-futures markets. The property of long memory is the most significant. Second in-class is linearity. Then, comes the property of jumps and finally heterogeneity. The property of the effect of macroeconomic announcements is evident only for few categories of announcements. The trade balance and producer price index are the most significant announcements across mini-futures markets and evaluation criteria. © 2015 Elsevier Inc.

Keywords:Heterogeneity, Jumps, Linearity, Long memory, Macro announcements, JCNotOpen
Subjects:L Social studies > L111 Financial Economics
Divisions:Lincoln International Business School
ID Code:19786
Deposited On:09 Dec 2015 15:46

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