Calendar anomalies in cash and stock index futures: International evidence
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More about this item
KeywordsFutures; Spot; Turn-of-the-month; Day-of-the-week; Regime-switching model; Volatility;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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