SEARCH

SEARCH BY CITATION

References

  • Andersen, T. G., 1996, Return volatility and trading volume: An information flow interpretation of stochastic volatility, Journal of Finance 51, 169204.
  • Ariel, R. A., 1990, High stock returns before holidays: Existence and evidence on possible causes, Journal of Finance 45, 161126.
  • Balduzzi, P., and A. W. Lynch, 1999, Transaction costs and predictability: Some utility cost calculations, Journal of Financial Economics 52, 4778.
  • Bollerslev, T., 1990, Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model, Review of Economics and Statistics 72, 498505.
  • Bollerslev, T., and E. Ghysels, 1996, Periodic autoregressive conditional heteroskedasticity, Journal of Business and Economic Statistics 14, 13951.
  • Cadsby, C. B., and M. Ratner, 1992, Turn-of-month and preholiday effects on stock returns: Some international evidence, Journal of Banking and Finance 16, 497509.
  • Chib, S., F. Nardari, and N. Shephard, 2002, Markov Chain Monte Carlo methods for stochastic volatility models, Journal of Econometrics 108, 281316.
  • Della Corte, P., L. Sarno, and D. L. Thornton, 2008, The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value, Journal of Financial Economics 89, 15874.
  • Della Corte, P., L. Sarno, and I. Tsiakas, 2009, An economic evaluation of empirical exchange rate models, Review of Financial Studies 22, 34913530.
  • Fabozzi, F. J., C. K. Ma, and J. E. Briley, 1994, Holiday trading in futures markets, Journal of Finance 49, 30724.
  • Fleming, J., C. Kirby, and B. Ostdiek, 2001, The economic value of volatility timing, Journal of Finance 56, 32952.
  • French, K., and R. Roll, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 526.
  • Geweke, J., 1992, Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments, in J. M.Bernardo, J.Berger, A. P.Dawid, and A. F. M.Smith, eds.: Bayesian Statistics 4 (Oxford University Press, Oxford , UK ), 16993.
  • Ghysels, E., D. R. Osborn, and P. M. M. Rodrigues, 2006, Forecasting seasonal time series, in G.Elliott, C. W. J.Granger, and A.Timmermann, eds.: Handbook of Economic Forecasting (North Holland, Amsterdam ), 659714.
  • Han, Y., 2006, Asset allocation with a high dimensional latent factor stochastic volatility model, Review of Financial Studies 19, 23771.
  • Hansen, P. R., A. Lunde, and J. M. Nason, 2004, Testing the significance of calendar effects, Unpublished working paper, Stanford University .
  • Kim, C. W., and J. Park, 1994, Holiday effects and stock returns: Further evidence, Journal of Financial and Quantitative Analysis 29, 14557.
  • Kim, S., N. Shephard, and S. Chib, 1998, Stochastic volatility: Likelihood inference and comparison with ARCH models, Review of Economic Studies 65, 36193.
    Direct Link:
  • Lakonishok, J., and S. Smidt, 1988, Are seasonal anomalies real? A ninety-year perspective, Review of Financial Studies 1, 40325.
  • Lo, A. W., 2002, The statistics of Sharpe ratios, Financial Analysts Journal 58, 3652.
  • Lynch, A. W., and P. Balduzzi, 2000, Predictability and transaction costs: The impact on rebalancing rules and behaviour, Journal of Finance 55, 22852309.
  • Marquering, W., and M. Verbeek, 2004, The economic value of predicting stock index returns and volatility, Journal of Financial and Quantitative Analysis 39, 40729.
  • Pettengill, G. N., 1989, Holiday closings and security returns, Journal of Financial Research 12, 5767.
  • Pitt, M. K., and N. Shephard, 1999, Filtering via simulation based on auxiliary particle filters, Journal of the American Statistical Association 94, 59099.
  • Sarno, L., and G. Valente, 2005, Modeling and forecasting stock returns: Exploiting the futures market, regime shifts and international spillovers, Journal of Applied Econometrics 20, 34576.
  • Schwert, G. W., 2003, Anomalies and market efficiency, in G. W.Constantinides, M.Harris, and R. M.Stulz, eds.: Handbook of the Economics of Finance (North Holland, Amsterdam ), 93974.
  • Sullivan, R., A. Timmermann, and H. White, 2001, Dangers of data mining: The case of calendar effects in stock returns, Journal of Econometrics 105, 24986.
  • Tsiakas, I., 2005, Is seasonal heteroskedasticity real? An international perspective, Finance Letters 3, 12432.
  • Tsiakas, I., 2006, Periodic stochastic volatility and fat tails, Journal of Financial Econometrics 4, 90135.
  • Tsiakas, I., 2008, Overnight information and stochastic volatility: A study of European and US stock exchanges, Journal of Banking and Finance 32, 25168.
  • West, K. D., H. J. Edison, and D. Cho, 1993, A utility-based comparison of some models of exchange rate volatility, Journal of International Economics 35, 2345.
  • White, H., 2000, A reality check for data snooping, Econometrica 68, 10971126.