Rodriguez, Werner Kristjanpoller - In: Revista de Analisis Economico – Economic Analysis Review 27 (2012) 1, pp. 71-89
This article examines the Day of the Week Effect for the main stock markets in Latin America in Argentina, Brazil, Chile, Colombia, Mexico, and Peru, during the period, 1993-2007. I undertake three different analyses, including GARCH models for the returns and volatility of daily returns by day...