Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/43558
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dc.contributor.authorJordán Sales, María Lourdesen_US
dc.contributor.authorCáceres Apolinario, Rosa Maríaen_US
dc.contributor.authorMaroto Santana, Octavioen_US
dc.contributor.authorRodríguez Caro, Alejandro Manuelen_US
dc.date.accessioned2018-11-21T16:07:04Z-
dc.date.available2018-11-21T16:07:04Z-
dc.date.issued2006en_US
dc.identifier.isbn1845641744en_US
dc.identifier.isbn9781845641740
dc.identifier.issn1743-355Xen_US
dc.identifier.urihttp://hdl.handle.net/10553/43558-
dc.description.abstractThe existence of seasonal behaviour in return and volatility of different international stock exchanges may be considered as an indication of non-integrated financial markets. A type of this abnormal behaviour is the day of the week effect, which implies investment opportunities. This type of opportunity is studied in this paper, focused on the analysis of the day of the week effect on the major European stock markets using GARCH and T-ARCH models. Results show evidence in favour of day of the week effect in the volatility in the most of the studied countries.en_US
dc.languageengen_US
dc.publisher1743-355Xen_US
dc.relation.ispartofWIT Transactions on Modelling and Simulationen_US
dc.sourceWIT Transactions on Modelling and Simulation[ISSN 1743-355X],v. 43, p. 267-275en_US
dc.subject5310 Economía internacionalen_US
dc.subject.otherMercadosen_US
dc.titleSeasonal behaviour of the volatility on European stock marketsen_US
dc.typeinfo:eu-repo/semantics/conferenceObjectes
dc.typeConferenceObjectes
dc.relation.conference2nd International Conference on Computational Finance and its Applications, COMPUTATIONAL FINANCE 2006, CF06
dc.identifier.doi10.2495/CF060261
dc.identifier.scopus36148944531-
dc.contributor.authorscopusid22985410700-
dc.contributor.authorscopusid22984087800-
dc.contributor.authorscopusid22985807800-
dc.contributor.authorscopusid22986526100-
dc.description.lastpage275-
dc.description.firstpage267-
dc.relation.volume43-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Actas de congresosen_US
dc.date.coverdateDiciembre 2006
dc.identifier.conferenceidevents121331
dc.identifier.ulpgces
item.fulltextCon texto completo-
item.grantfulltextopen-
crisitem.author.deptDepartamento de Economía Financiera y Contabilidad-
crisitem.author.deptDepartamento de Economía Financiera y Contabilidad-
crisitem.author.deptDepartamento de Economía Financiera y Contabilidad-
crisitem.author.deptEconomía de la salud y políticas públicas-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-8080-3094-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameJordán Sales, María Lourdes-
crisitem.author.fullNameCáceres Apolinario, Rosa María-
crisitem.author.fullNameMaroto Santana, Octavio-
crisitem.author.fullNameRodríguez Caro, Alejandro Manuel-
crisitem.event.eventsstartdate27-06-2006-
crisitem.event.eventsenddate29-06-2006-
Appears in Collections:Actas de congresos
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