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Search: subject:"daily seasonality"
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daily seasonality
4
Saisonale Schwankungen
2
Seasonal variations
2
ordinal patterns
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stock market
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symbolic analysis
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Aktienmarkt
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Density forecasts Acknowledgements: The authors are most grateful to a referee for helpful comments and suggestions. This paper forms part of an ARC Linkage Grant research project
1
Kapitaleinkommen
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Konsumentenverhalten
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Kreditkarte
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entitled ÃModelling stock market liquidity in Australia and the Asia Pacific RegionÓ. We are grateful to the Australian Research Council for financial support. The financial data has been kindly provided by the Industry Partner
1
local projections
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payment system
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policy uncertainty
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stock returns
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the Securities Research Institute (SIRCA)
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Plastino, Angelo
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Allen, David E.
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Ardizzi, Guerino
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Bariviera, Aurelio F.
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Bariviera, Aurelio Fernández
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News and consumer card payments
Ardizzi, Guerino
;
Emiliozzi, Simone
;
Marcucci, Juri
; …
-
2019
Persistent link: https://www.econbiz.de/10012140418
Saved in:
2
Spurious seasonality detection: A non-parametric test proposal
Bariviera, Aurelio F.
;
Plastino, Angelo
;
Judge, George
- In:
Econometrics
6
(
2018
)
1
,
pp. 1-15
series as well. While time series generated with long memory are prone to exhibit
daily
seasonality
, pure white noise signals …
Persistent link: https://www.econbiz.de/10011995204
Saved in:
3
Spurious seasonality detection : a non-parametric test proposal
Bariviera, Aurelio Fernández
;
Plastino, Angelo
;
Judge, …
- In:
Econometrics : open access journal
6
(
2018
)
1
,
pp. 1-15
series as well. While time series generated with long memory are prone to exhibit
daily
seasonality
, pure white noise signals …
Persistent link: https://www.econbiz.de/10011822333
Saved in:
4
A factor model of seasonality in stock returns
Regúlez Castillo, Marta
;
Gardeazabal, Javier
-
Departamento de Fundamentos del Análisis Económico …
-
2002
Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.
Persistent link: https://www.econbiz.de/10004972684
Saved in:
5
Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data
Allen, David E.
;
Lazarov, Zdravetz
;
McAleer, Michael
-
School of Business, Edith Cowan University
-
2007
In this paper we model intra-
daily
seasonality
in the shape of the residual distribution of the standard ACD model …
Persistent link: https://www.econbiz.de/10009642868
Saved in:
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