Dangers of data mining: The case of calendar effects in stock returns

DOI10.1016/S0304-4076(01)00077-XzbMath1040.62095OpenAlexW2027837170MaRDI QIDQ5952033

Allan G. Timmermann, Ryan Sullivan, Halbert White

Publication date: 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00077-x

zbMATH Keywords

bootstrap testingcalendar effectsmarket efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

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