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The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
16 references·0 citing·23 second hop
The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange (2014)The Day of the Week Effect Patterns on St…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsNo News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns (1991)No News is Good News: An Asym…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)The Efficient Market Hypothesis and Its Critics (2003)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1992No news is good news1,929 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns623 cited
  • 2002Anomalies and Market Efficiency

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547 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
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