The January Effect across Volatility Regimes
Year of publication: |
2007-12-31
|
---|---|
Authors: | Aray, Henry ; Agnany, Bety |
Institutions: | Departamento de Teoría e Historia Económica, Facultad de Ciencias Económicas y Empresariales |
Subject: | Markov Switching Model | Stock Returns | Seasonality | Size Portfolios |
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