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The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions
16 references·2 citing·38 second hop
The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions (2007)The day‐of‐the‐week effect and conditiona…Experimental Design: Procedures for the Behavioral Sciences (2013)Experimental Design: Procedur…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Stock return variances (1986)Stock return variancesA Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Experimental Design: Procedures for the Behavioral Sciences. (1969)Experimental Design: Procedur…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets (2013)Price limit bands, asymmetric…TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA (2006)TESTING FOR NONLINEARITY & MO…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Correlations in Price Changes and Volatility across International Stock Markets (1990)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Prevalence of Specific Language Impairment in Kindergarten Children (1997)Fit indices in covariance structure modeling: Sensitivity to underparameterized model misspecification. (1998)Un sistema de clasificación de los diseños de investigación en psicología (2013)Microcomputer analyses of performance on a portable, simple visual RT task during sustained operations (1985)Prevalence estimation of school bullying with the Olweus Bully/Victim Questionnaire (2003)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

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  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2013Experimental Design: Procedures for the Behavioral Sciences8,539 cited
  • 1969Experimental Design: Procedures for the Behavioral Sciences.5,159 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1980Stock returns and the weekend effect1,997 cited
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  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
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  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 2002

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The Message in Daily Exchange Rates
791 cited

Cited by

  • 2013Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets26 cited
  • 2006TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA25 cited