EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES
Year of publication: |
2006
|
---|---|
Authors: | KYRTSOU, CATHERINE ; LEONTITSIS, ALEXANDROS ; SIRIOPOULOS, COSTAS |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 01, p. 1-22
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Mackey-Glass-GARCH | calendar effects | forecasting |
-
Analysis of the predictive ability of information accumulated over nights, weekends and holidays
Tsiakas, Ilias, (2004)
-
Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars, (2006)
-
Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars, (2006)
- More ...
-
Kyrtsou, Catherine, (2007)
-
Nonlinear Noise Estimation in International Capital Markets
Siriopoulos, Costas, (2002)
-
Nonlinear forecast of financial time series through dynamical calendar correction
Leontitsis, Alexandros, (2006)
- More ...