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

daily returnday-of-week effectsmaximum entropyperiodogram

Mathematics Subject Classification ID

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

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Cites work

• Hurst exponent analysis of financial time series

Cited in

(9)

• An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets
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• Nonparametric analysis of the Shenzhen stock market: the day of the week effect
• Month-of-the-year effect: empirical evidence from Indian stock market
• Weekday dependence of German stock market returns
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