Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation
AbstractThe Kuwait stock exchange index is examined for evidence of a day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good explanation of the data and allows identification and modelling of the day-of-the-week effect.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 11 (2001)
Issue (Month): 4 ()
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