Browsing Conference papers by Subject "GARCH"

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The day of the week effect patterns on stock market return and volatility: Evidence for the Athens Stock Exchange

Kenourgios, Dimitris; Samitas, Aristeidis; Papathanasiou, Spyros (2005)

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: ...