Short-term return-based contrarian strategies in international interest rates futures : 1993-2002
In this thesis, we document return reversals and investigate profitability of contrarian strategies in international interest rate futures markets. For the analysis, we construct a methodology vy closely following the spirit behind the Lo and Mackinlay (1990) methodology developed for contrarian str...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9074 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |