Analysis of risk and return of individual stock is primary steps of every investor before making investment. The main purpose of individual investor is maximizing wealth in a low level of risk. But it is very difficult to find out such investment avenue from the pool of investment avenues. In...

This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...