Periodic Stochastic Volatility and Fat Tails
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- Eduardo Rossi & Dean Fantazzini, 2015.
"Long Memory and Periodicity in Intraday Volatility,"
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- Hüseyin Kaya & Sadullah Çelik, 2009. "Empirical Evidence For Day Of The Week Effect In An Emerging Market: The Turkish Case," 2009 Meeting Papers 219, Society for Economic Dynamics.
- repec:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9139-z is not listed on IDEAS
- Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
- Yermack, David, 2014. "Tailspotting: Identifying and profiting from CEO vacation trips," Journal of Financial Economics, Elsevier, vol. 113(2), pages 252-269.
- Imtiaz Mazumder, M. & Chu, Ting-Heng & Miller, Edward M. & Prather, Larry J., 2008. "International day-of-the-week effects: An empirical examination of iShares," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 699-715, September.
- M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.
- Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
- Aknouche, Abdelhakim, 2013. "Periodic autoregressive stochastic volatility," MPRA Paper 69571, University Library of Munich, Germany, revised 2015.
- 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.
- David Yermack, 2012. "Tailspotting: Identifying and profiting from CEO vacation trips," NBER Working Papers 17940, National Bureau of Economic Research, Inc.
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