Stock returns, seasonality and asymmetric conditional volatility in world equity markets
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Lichtenberg, Frank R. & Pottelsberghe de la Potterie, Bruno v., 1998. "International R&D spillovers: A comment," European Economic Review, Elsevier, vol. 42(8), pages 1483-1491, September.
- Djankov, Simeon & Hoekman, Bernard, 1998. "Avenues of Technology Transfer: Foreign Investment and Productivity Change in the Czech Republic," CEPR Discussion Papers 1883, C.E.P.R. Discussion Papers.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006.
- Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
- Gonzalez-Perez, Maria T. & Guerrero, David E., 2013. "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 243-260.
- Denise R. Osborn & Christos S. Savva & Len Gill, 2008.
"Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 6(3), pages 307-325, Summer.
- Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," The School of Economics Discussion Paper Series 0629, Economics, The University of Manchester.
- Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The Univeristy of Manchester.
- Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Syed Azizi Wafa Syed Khalid Wafa, 2008.
"Day-of-the-week effects in Selected East Asian stock markets,"
AccessEcon, vol. 7(5), pages 1-8.
- Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007. "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper 7299, University Library of Munich, Germany.
- Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.
- Charles, Amélie, 2010.
"The day-of-the-week effects on the volatility: The role of the asymmetry,"
European Journal of Operational Research,
Elsevier, vol. 202(1), pages 143-152, April.
- Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
- Murat Akbalik & K. Batu Tunay, 2016. "An Analysis Of Ramadan Effect By Gjr-Garch Model: Case Of Borsa Istanbul," Oeconomia Copernicana, Institute of Economic Research, vol. 7(4), pages 593-612, December.
- repec:ebl:ecbull:v:7:y:2008:i:5:p:1-8 is not listed on IDEAS
- Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
- Balaban, Ercan & Ozgen, Tolga, 2016. "Trading session effects on stock returns and their conditional volatility: Firm-level evidence from a European Union accession country," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 264-271.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:8:y:2001:i:4:p:263-268. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .
We have no references for this item. You can help adding them by using this form .