A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems
The univariate and multivariate distribution of daily returns on contracts in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multiv...
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| Format: | Thesis |
| Language: | English |
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1985
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| Online Access: | https://repository.londonmet.ac.uk/7667/1/356467.pdf |