haku: @author Najand, M. / yhteensä: 3
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| Tekijä: | Najand, M. Yung, K. |
| Otsikko: | Conditional heteroskedasticity and the weekend effect in S&P 500 index futures |
| Lehti: | Journal of Business Finance and Accounting
1994 : JUN, VOL. 21:4, p. 603-612 |
| Asiasana: | FUTURE HETEROSCEDASTICITY MODELS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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