Constructing weekly returns based on daily stock market data: A puzzle for empirical research?
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Cited by:
- Eduard Baum??hl & ??tefan Ly??csa, 2014. "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series wp1079, William Davidson Institute at the University of Michigan.
- Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015.
"Granger causality stock market networks: Temporal proximity and preferential attachment,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.
- Tom'av{s} V'yrost & v{S}tefan Ly'ocsa & Eduard Baumohl, 2014. "Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment," Papers 1408.2985, arXiv.org.
- Výrost, Tomáš, 2012. "Country effects in CEE3 stock market networks: a preliminary study," MPRA Paper 43481, University Library of Munich, Germany.
- Akhtaruzzaman, Md & Boubaker, Sabri & Umar, Zaghum, 2022. "COVID–19 media coverage and ESG leader indices," Finance Research Letters, Elsevier, vol. 45(C).
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More about this item
Keywords
stock markets; weekly returns; statistical properties;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-01-12 (Econometrics)
- NEP-ETS-2013-01-12 (Econometric Time Series)
- NEP-FMK-2013-01-12 (Financial Markets)
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