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.

Detalles Bibliográficos
Publicado en:Review of financial economics V. 12-17, 1-4 (2003-08).
Autor principal: Baker, H. Kent
Formato: Artículo
Lenguaje:English
Materias:
Volatility.
Securities markets.
Errors.
Rates of return.
Stochastic models.
Regressiona analysis.