Spectral analysis of stock data series and evidence of day-of-the-week effects

DOI10.1007/S11741-002-0021-4MaRDI QIDQ4789609zbMATH OpenOpenAlexFDO

Authors Weihua Li, Shuozhong Wang

Publication date 10 April 2003

Published in Journal of Shanghai University (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11741-002-0021-4

zbMATH Keywords

maximum entropyperiodogramdaily returnday-of-week effects

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• Hurst exponent analysis of financial time series

Cited in

(7)

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• Modelling EGX30 of Egyptian stock market using spectral analysis and harmonic regression
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