Bariviera, Aurelio F.; Plastino, Angelo; Judge, George - In: Econometrics 6 (2018) 1, pp. 1-15
This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called 'day-of-the-week' effect is partly an artifact of the hidden...