Stock market return and volatility: day-of-the-week effect

Hakan Berument () and Nukhet Dogan ()
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Nukhet Dogan: http://nukhetdog.googlepages.com/home

Journal of Economics and Finance, 2012, vol. 36, issue 2, 282-302

Keywords: Day-of-the-Week Effect; Return-Volatility Relation; Time Varying Risk Premia; EGARCH; G10; G12; C22 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s12197-009-9118-y

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