Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
systematically observed for Mondays and Fridays, consistently with the “day of the week” effect frequently found in financial data …. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the … week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e., orders of …