of the month effect, it records significantly higher returns during a relatively short time period around the end of the …

Correlations between two time series, including the linear Pearson correlation and the nonlinear transfer entropy, have … a time delay and a rolling window. In most cases, the Pearson correlation and transfer entropy share the same tendency … correlation, using the linear correlation with time delays and a rolling window is a robust and simple method to quantify the …

time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this … paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA …), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions …