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Calendar anomalies in emerging Balkan equity markets

Georgantopoulos, Andreas G.; Kenourgios, Dimitris F.; … - In: International economics & finance journal : (IEFJ) 6 (2011) 1, pp. 67-82

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An empirical investigation of the day-of-the-week effect on stock returns and volatility : evidence from Muscat securities market

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"Day of the week" and its effect on stock market volatility : evidence from an emerging market

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Price discovery and liquidity in the high frequency world

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S&P 500 index-futures price jumps and macroeconomic news

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The turn-of-the-month-effect : evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) model

Giovanis, Eleftherios - In: International journal of economic sciences and applied … 7 (2014) 3, pp. 43-61

first is the symmetric Generalized ARCH (1,1) model. However, previous studies found that volatility tends to increase more … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …

Persistent link: https://www.econbiz.de/10010509192