Estimation of the Day of the Week Effect on Stock Market Volatility in the U.S. Manufacturing Sector using GARCH and EGARCH models
Year of publication: |
2012-04
|
---|---|
Authors: | Kasai, Katsuya |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Day of Weak Effect | Weak Form Efficiency | GARCH model | Stock Market |
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