The January effect across volatility regimes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, pages 16-32.
- Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
- repec:blg:journl:v:12:y:2017:i:1:p:95-109 is not listed on IDEAS
More about this item
KeywordsMarkov switching model; Stock returns; Seasonality; Size portfolios;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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