Market uncertainty and information content in complex seasonality of prices
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DOI: 10.1016/j.pacfin.2024.102430
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More about this item
Keywords
Market uncertainty; Seasonality; Spectrum analysis; Global financial crisis; COVID-19 pandemic; Russia-Ukraine conflict;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
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