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

DOI10.1007/S11741-002-0021-4zbMATH Open1008.62104OpenAlexW1976533976MaRDI QIDQ4789609FDOQ4789609

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

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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)

Cites Work

• Hurst exponent analysis of financial time series

Cited In (7)

• Weekday dependence of German stock market returns
• Modelling EGX30 of Egyptian stock market using spectral analysis and harmonic regression
• Title not available (Why is that?)
• Nonparametric analysis of the Shenzhen stock market: the day of the week effect
• The sample spectrum of time series with trading day variation
• Month-of-the-year effect: empirical evidence from Indian stock market
• Dynamics of the dow Jones and the NASDAQ stock indexes

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