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Calendar Effects on Stock Returns Across Multiple States

https://doi.org/10.2139/ssrn.1806172
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(96)00875-6openalex-extracted
Modeling the conditional distribution of interest rates as a regime-switching process
inferredcites →https://doi.org/10.1016/0304-4076(94)90067-1openalex-extracted
Autoregressive conditional heteroskedasticity and changes in regime
inferredcites →https://doi.org/10.1016/s1058-3300(96)90004-xopenalex-extracted
An examination of the day‐of‐the‐week effect in junk bond returns over business cycles
inferredcites →https://doi.org/10.1016/s1058-3300(99)00008-7openalex-extracted
Presidential administrations and the day‐of‐the‐week effect in stock returns
inferredcites →https://doi.org/10.1016/s1062-9769(00)00081-8openalex-extracted
A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model
inferredcites →https://doi.org/10.2307/1912559openalex-extracted
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/1912934openalex-extracted
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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