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Modelling day-of-the-week seasonality in the S&P 500 index
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Stock returns and the weekend effect
inferredcites →https://doi.org/10.1016/0304-405x(86)90011-5openalex-snapshot
Day-of-the-week and intraday effects in stock returns
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The implications of periodically varying coefficients for seasonal time-series processes
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ARCH modeling in finance
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Inequality Constraints in the Univariate GARCH Model
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Periodic Autoregressive Conditional Heteroscedasticity
inferredcites →https://doi.org/10.1093/biomet/67.2.365openalex-snapshot
Hidden periodic autoregressiye-moving average models in time series data
inferredcites →https://doi.org/10.1093/oso/9780198774532.001.0001openalex-snapshot
Periodicity and Stochastic Trends In Economic Time Series
inferredcites →https://doi.org/10.1093/rfs/2.4.607openalex-snapshot
The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements
inferredcites →https://doi.org/10.1093/rfs/3.4.593openalex-snapshot
A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets
inferredcites →https://doi.org/10.1093/rfs/6.1.155openalex-snapshot
Return Autocorrelations around Nontrading Days
inferredcites →https://doi.org/10.1093/rfs/7.3.539openalex-snapshot
A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns
inferredcites →https://doi.org/10.1111/j.1467-9892.1996.tb00274.xopenalex-snapshot
UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb03675.xopenalex-snapshot
A Further Investigation of the Weekend Effect in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05089.xopenalex-snapshot
The Weekend Effect: Trading Patterns of Individual and Institutional Investors
inferredcites →https://doi.org/10.2307/1392516openalex-snapshot
Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation
inferredcites →https://doi.org/10.2307/2331225openalex-snapshot
The Individual Investor and the Weekend Effect
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Periodic Stochastic Volatility and Fat Tails
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