search query: @author Yung, K. / total: 5
reference: 4 / 5
Author: | Najand, M. Yung, K. |
Title: | Conditional heteroskedasticity and the weekend effect in S&P 500 index futures |
Journal: | Journal of Business Finance and Accounting
1994 : JUN, VOL. 21:4, p. 603-612 |
Index terms: | FUTURE HETEROSCEDASTICITY MODELS |
Language: | eng |
Abstract: | Conflicting results have reported regarding the existence of a weekend effect in S&P 500 index futures. Given the numerous evidence in recent research that asset returns are affected by conditional heteroskedasticity and have fattailed distributions, this paper re-examines the existence of a weekend effect in S&P 500 index futures by using a GARCH model. The results generated by the new methodology support the conclusion on Cornell that there is no weekend effect in S&P 500 index futures. |
SCIMA