The day-of-the-week effect and conditional volatility sensitivity of error distributional assumptions.

The day-of-the-week effect and conditional volatility sensitivity of error distributional assumptions.

Bibliographische Detailangaben
Veröffentlicht in:Review of financial economics V. 12-17, 1-4 (2003-08).
1. Verfasser: Baker, H. Kent
Format: Artikel
Sprache:English
Schlagworte:
Volatility.
Securities markets.
Errors.
Rates of return.
Stochastic models.
Regressiona analysis.