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• W2045349794 abstract "The long-term dependent behavior in the close prices of the S&P 500, Nikkei 225, and Dow Jones index futures contracts are investigated by using the ARFIMA (p, d, q) model to estimate the order of the fractional integration parameters for a large range of sampling frequencies: from one-minute to monthly frequencies. The empirical evidence shows that the close prices exhibit anti-persistence properties for most of the sampling frequencies. This suggests that the contrarian's trading strategies in relation to stock index futures markets have a positive value. Moreover, the empirical evidence indicates that the higher frequency of the data, the stronger degree of contrarian behaviors, particularly for S&P 500 and Dow Jones stock index futures contracts." @default.
• W2045349794 created "2016-06-24" @default.
• W2045349794 creator A5020320394 @default.
• W2045349794 date "2006-08-01" @default.
• W2045349794 modified "2023-09-25" @default.
• W2045349794 title "LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS" @default.
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• W2045349794 doi "https://doi.org/10.1142/s0219024906003780" @default.
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