Dumitriu, Ramona; Stefanescu, Razvan - Volkswirtschaftliche Fakultät, … - 2013
affect the stock markets seasonality. In this paper we investigate the presence of the day of the week effects in returns and …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility …, the day of the week effects in returns identified for the quiet period disappeared during the turbulent period. A less …