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On the Presence of a Day-of-the-Week Effect in the Foreign Exchange Market
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On the Presence of a Day-of-the-Week Effect in the Foreign Exchange Market (1995)On the Presence of a Day-of-the-Week Effe…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality (1988)From T‐Bills to Common Stocks…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Stock market seasonality (1983)Stock market seasonalityWeekend Effects on Stock Returns: A Note (1982)Weekend Effects on Stock Retu…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…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…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Book Review: Time Series Analysis: Forecasting and Control (1977)Predicting returns in the stock and bond markets (1986)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Measuring and Testing the Impact of News on Volatility (1993)Size-related anomalies and stock return seasonality (1983)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Investor Inattention and Friday Earnings Announcements (2009)Correlations in Price Changes and Volatility across International Stock Markets (1990)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Tomorrow on the New York Stock Exchange (1965)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Multivariate GARCH models: a survey (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation2,043 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1976Capital market seasonality: The case of stock returns1,252 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns937 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence775 cited
  • 1983Stock market seasonality590 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1982Weekend Effects on Stock Returns: A Note460 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

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308 cited
  • 1988From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality136 cited
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