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- W2000862517 abstract "Day-of-the-week seasonals in the Treasury bond futures market are investigated; parametric tests based on the assumption of normality are contrasted with the more general stable family of distributions and with non-parametric tests. The sample data corroborate the non-normality of the returns-generating process in the Treasury bond futures market found previously. Non-stationarity of the returns-generating process in the sample period, 1977-91, is investigated through parameter estimation in sub-periods of the sample. The disappearance of day-of-the-week seasonals in the Treasury bond futures market documented in prior studies is corroborated by the estimation methodology based on stable distributions." @default.
- W2000862517 created "2016-06-24" @default.
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- W2000862517 date "1993-03-01" @default.
- W2000862517 modified "2023-09-24" @default.
- W2000862517 title "A note on the disappearance of day-of-the-week seasonals in the daily price changes of Treasury bond futures" @default.
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- W2000862517 doi "https://doi.org/10.1080/758527820" @default.
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