Search Results - subject:"Data driven"

The day of the week effect on stock market volatility

Berument, Hakan; Kiymaz, Halil - In: Journal of economics and finance 25 (2001) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10001619001

Variable Bandwidth Selection in Varying-Coefficient Models

Zhang, Wenyang; Lee, Sik-Yum - In: Journal of Multivariate Analysis 74 (2000) 1, pp. 116-134

The varying-coefficient model is an attractive alternative to the additive and other models. One important method in estimating the coefficient functions in this model is the local polynomial fitting approach. In this approach, the choice of bandwidth is crucial. If the unknown curve is spatial...

Persistent link: https://www.econbiz.de/10005093730

Tax-free trading on calendar stock and bond market patterns

Compton, William S.; Kunkel, Robert A. - In: Journal of economics and finance 24 (2000) 1, pp. 64-76

Persistent link: https://www.econbiz.de/10001507208

The impact of the day of the week on IPO return autocorrelation and cross-correlation

Higgins, Eric James; Howton, Shelly W.; Perfect, Steven B. - In: Quarterly journal of business and economics : QJBE 39 (2000) 1, pp. 57-67

Persistent link: https://www.econbiz.de/10001534372

Day-of-the-week and size effects in emerging markets: evidence from Chile

Marshall, Pablo; Walker Hitschfeld, Eduardo - In: Revista de análisis económico 15 (2000) 2, pp. 89-108

Persistent link: https://www.econbiz.de/10001609483

The day of the week effect and option pricing : a study of the German option market

Sundkvist, Kim (contributor); Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001557346

Day of the week effect in emerging Asian stock markets : evidence from the GARCH model

Choudhry, Taufiq - In: Applied financial economics 10 (2000) 3, pp. 235-242

Persistent link: https://www.econbiz.de/10001526275

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - In: Yapı Kredı economic review : quarterly publ. of … 10 (1999) 2, pp. 3-29

Persistent link: https://www.econbiz.de/10001505110

Presidential administrations and the day-of-the-week effect in stock returns

Liano, Kartono; Liano, Kadir; Manakyan, Herman - In: Review of financial economics : RFE 8 (1999) 1, pp. 93-99

Persistent link: https://www.econbiz.de/10001448713

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859