Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2016.
"The weekend effect: an exploitable anomaly in the Ukrainian stock market?,"
Journal of Economic Studies,
Emerald Group Publishing, vol. 43(6), pages 954-965, November.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin 1458, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014.
"The Weekend Effect: A Trading Robot and Fractional Integration Analysis,"
Discussion Papers of DIW Berlin
1386, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," CESifo Working Paper Series 4849, CESifo Group Munich.
More about this item
KeywordsSpectral Analysis; Weekend Anomaly; Financial Cycles; Low-frequency Components; Asset Returns.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
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