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The day-of-the-week-effect on the volatility of commodities · Study

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ArticleThe day-of-the-week-effect on the volatility of commodities

Mahmoud Qadan2021

Article2021

The day-of-the-week-effect on the volatility of commodities

Mahmoud Qadan · Yasmeen Idilbi-Bayaa

23 citations·0/0 files stored·Resources Policy

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 2016Measuring Economic Policy Uncertainty*1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1980Stock returns and the weekend effect 2003Good Day Sunshine: Stock Returns and the Weather 1981Day of the Week Effects and Asset Returns

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Year2021

Typearticle

Published2021-01-21

VenueResources Policy

ISSN-L0301-4207

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.resourpol.2020.101980

openalex_workW3123578424

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