Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Ressource]
it is capable of producing data-mining robust significance.
We apply the test to stock indices from Denmark, France …: Calendar effects, data mining, significance test.
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We thank seminar participants at Brown University for valuable comments … effects could be a result of data mining. Even if there are no calendar specific anomalies,
an extensive search (mining) over …