SAD and stock returns revisited: nonlinear analysis based on MF-DCCA and Granger test

DOI10.1016/J.PHYSA.2018.06.075OpenAlexW2810142696WikidataQ129619141 ScholiaQ129619141MaRDI QIDQ2153247FDOQ2153247

Manqian Zhang, Dayong Lv, Haiquan Yang, Qingsong Ruan

Publication date: 1 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.06.075

zbMATH Keywords

stock returnsSADMF-DFAGranger testMF-DCCA

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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