Bariviera, Aurelio Fernández; Plastino, Angelo; Judge, … - In: Econometrics : open access journal 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...
