Estimation of the Day of the Week Effect on Stock Market Volatility in the U.S. Manufacturing Sector using GARCH and EGARCH models
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More about this item
Keywords
Day of Weak Effect; Weak Form Efficiency; GARCH model; Stock Market;All these keywords.
JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G1 - Financial Economics - - General Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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