Autocorrelations, returns and Australian financial futures

Robert D. Brooks, Paul S. Michaelides

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)


This paper explores whether predictable autocorrelation structures exist in returns data on Australian financial futures. We explore the data using power transformations and find that for the bank accepted bills market there are potential gains from this strategy.

Original languageEnglish
Pages (from-to)323-326
Number of pages4
JournalApplied Economics Letters
Issue number10
Publication statusPublished - 1 Oct 1995
Externally publishedYes

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