Memory in returns and volatilities of futures' contracts

C-Tier

Journal: Journal of Futures Markets

Year: 2000

Volume: 20

Issue: 6

Pages: 525-543

Authors (2)

Nuno Crato (Universidade de Lisboa) Bonnie K. Ray (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count