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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

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Time-variations in commodity price jumps

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Nonparametric smoothing and quantile estimation in time series

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Seasonal trades

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Asset price prediction using seasonal decomposition

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Seasonality in High Frequency Time Series

Proietti, Tommaso; Pedregal, Diego J. - 2021

Time series observed at higher frequencies than monthly frequency display complex seasonal patterns that result from the combination of multiple seasonal patterns (with annual, monthly, weekly and daily periodicities) and varying periods, due to the irregularity of the calendar. The paper deals...

Persistent link: https://www.econbiz.de/10013240258

Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility

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Three essays on predictability and seasonality in the cross-section of stock returns

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On the existence of calendar anomalies and persistence in the daily returns of the PSEi

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