Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors
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References listed on IDEAS
- Kenneth Hogholm & Johan Knif & Seppo Pynnonen, 2011. "Common and local asymmetry and day-of-the-week effects among EU equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 219-227.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
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KeywordsLeft-spherical elliptical distribution; Residual diagnostics; General linear hypothesis;
StatisticsAccess and download statistics
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