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Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the "Weekend Effect"

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References

1976Option pricing when underlying stock returns are discontinuous5,965 cited
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1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
1967A Compound Events Model for Security Prices441 cited
1994The Individual Investor and the Weekend Effect333 cited
1988Why a weekend effect125 cited
1981A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns110 cited
1998Pitfalls in Estimating Jump-Diffusion Models75 cited
1988A Possible Explanation of the Weekend Effect51 cited
1994Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing36 cited
1994Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news35 cited

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2015The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?30 cited
2023Time-varying jump intensity and volatility forecasting of crude oil returns

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26 cited