Calendar Anomalies in Athens Exchange Stock Market - An Application of GARCH Models and the Neural Network Radial Basis Function

The purpose of this paper is to examine if there are calendar anomalies in the Greek Stock market and to confirm the findings of other researches. Specifically two models are presented, one for the day of the week effect test and other for the month of the year effect. We provide GARCH estimation in the models that present heteroscedasticity and we compare the forecasting results and performance with one of the many neural networks models, the radial basis function

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Year of publication:	[2008]
Authors:	Giovanis, Eleftherios
Publisher:	[2008]: [S.l.] : SSRN

Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 8, 2008 erstellt
Other identifiers:	10.2139/ssrn.1264970 [DOI]
Classification:	C45 - Neural Networks and Related Topics ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012723214