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Not all calendar anomalies are adaptive in the Nigerian stock market

Adaramola, Anthony Olugbenga; Adekanmbi, Kehinde Oladeji - In: African journal of business and economic research : AJBER 16 (2021) 1, pp. 95-121

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Are investors moonstruck? : further international evidence on lunar phases and stock returns

Keef, Stephen P.; Khaled, Mohammed S. - In: Journal of empirical finance 18 (2011) 1, pp. 56-63

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Calendar anomalies in Russian stocks and bonds

Compton, William; Kunkel, Robert A.; Kuhlemeyer, Gregory - In: Managerial finance 39 (2013) 12, pp. 1138-1154

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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … the ones obtained from a linear ARFIMA model and from conventional time-series models based on daily returns, treating …

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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)

Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176

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Day of the week effect in Bombay Stock Exchange

Nandini, Girija; Mishra, Bishnupriya - In: GITAM journal of management : a quarterly publication … 12 (2014) 2, pp. 137-147

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The Saturday effect : an interesting anomaly in the Saudi stock market

Abalala, Turki; Sollis, Robert - In: Applied economics 47 (2015) 58/60, pp. 6317-6330

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The day-of-the-week effect on global stock market volatility after a market shock

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Investigating seasonal patterns in developing countries : the case of FYROM stock market

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The day of the week effects in the Stock Exchange of Casablanca : analysis by intraday and interday returns

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