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.