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In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...
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Depending tactical asset allocation upon the forecasting model choice, it is often discussed the existence of a time … decisions through different holding periods. Time series have been chosen in order to avoid structural breaks, recorded after … intervals? (ii) is it possible to define ex-ante criteria to choose forecasting and time diversification methods? We demonstrate …
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