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An artificial neural network-GARCH model for international stock return volatility

Donaldson, R. Glen - In: Journal of empirical finance 4 (1997) 1, pp. 17-46

Persistent link: https://www.econbiz.de/10001224775

International evidence on psychological barriers in asset prices and the efficient market hypothesis

Donaldson, R. Glen - 1990

Persistent link: https://www.econbiz.de/10000812565

Portfolio insurance and asset prices

Donaldson, R. Glen; Uhlig, Harald - 1991

Persistent link: https://www.econbiz.de/10000815845

Psychological barriers in asset prices, rationality and the efficient market hypothesis

Donaldson, R. Glen - 1990

Persistent link: https://www.econbiz.de/10000941727

The impact of large portfolio insurers on asset prices

Donaldson, R. Glen - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1943-1955

Persistent link: https://www.econbiz.de/10001155913

[Rezension von: Roehner, Bertrand, Hidden collective factors in speculative trading]

Donaldson, R. Glen - In: Journal of economic literature 40 (2002) 4, pp. 1250-1252

Persistent link: https://www.econbiz.de/10001734741

Losing sleep at the market : the daylight saving anomaly

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D. - In: The American economic review 90 (2000) 4, pp. 1005-1011

Persistent link: https://www.econbiz.de/10001521160

Losing sleep at the market : comment

Pinegar, J. Michael - In: The American economic review 92 (2002) 4, pp. 1251-1256

Persistent link: https://www.econbiz.de/10001714797

A careful re-examination of seasonality in international stock markets : comment on sentiment and stock returns

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D. - In: Journal of banking & finance 36 (2012) 4, pp. 934-956

Persistent link: https://www.econbiz.de/10009557861

A Careful Re-Examination of Seasonality in International Stock Markets : Comment on Sentiment and Stock Returns

Kamstra, Mark J. - 2011

In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...

Persistent link: https://www.econbiz.de/10013133009