Nonparametric analysis of the Shenzhen stock market: the day of the week effect

DOI10.1016/J.MCM.2011.09.042zbMath1255.91438OpenAlexW1994696253MaRDI QIDQ1931043

Kuang-Chao Chang, Anfen Bai, Liangqing Luo, Heqing Wei, Dejian Lai

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.09.042

zbMATH Keywords

nonparametric analysisFriedman testShenzhen stock exchangeSkillings-Mack testthe day of the week effect

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Uses Software

• FinTS

Cites Work

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• Nonparametric estimation of structural change points in volatility models for time series
• Mean estimation in the presence of change points
• Generalized autoregressive conditional heteroscedasticity
• On the Use of a Friedman-Type Statistic in Balanced and Unbalanced Block Designs
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Analysis of Financial Time Series

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