Exploring the impact of calendar effects on the dynamic structure and forecasts of financial time series

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 1, 2006, Pages 1-22

  Kyrtsou, Catherine ^a   Leontitsis, Alexandros ^b,c   Siriopoulos, Costas ^b  

^a UNIVERSITY OF MACEDONIA   (Greece)

^b UNIVERSITY OF PATRAS   (Greece)

^c UNIVERSITY OF IOANNINA   (Greece)

Author keywords

Calendar effects; Forecasting; Mackey Glass GARCH

Indexed keywords

EID: 32644447967     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003433     Document Type: Article

References (43)

1. R. Aggarwal and J. D. Schatzberg, Day of the week effects, information seasonality, and higher moments of security returns, Journal of Economics and Business 49 (1997) 1-20.
2. R. A. Ariel, A monthly effect in stock returns, Journal of Financial Economics 18 (1) (1987) 161-174.
3. R. Ariel, High stock returns before holidays: Existence and evidence on possible causes, Journal of Finance 45 (1990) 1611-1626.
4. A. C. Atkinson, Fast very robust methods for the detection of multiple outliers, Journal of the American Statistical Association 89 (1994) 1329-1339.
5. L. Cao and A. Soofi, Nonlinear deterministic forecasting of daily dollar exchange rates, International Journal of Forecasting 15 (1999) 421-430.
6. L. Cao and A. Soofi, Nonlinear deterministic forecasting of Peseta-Dollar exchange rates, Economics Letters 62 (1999) 175-180.
7. M. Casdagli, Nonlinear prediction of chaotic time series, Physica D 35 (1989) 335-356.
8. F. X. Diebold and J. A. Nason, Nonparametric exchange rate prédiction? Journal of International Economics 28 (1990) 315-322.
9. M. Dubois and P. Louvet, The day-of-the-week-effect: The international evidence, Journal of Banking and Finance 20 (1995) 1463-1484.
10. D. Farmer and J. J. Sidorowitch, Predicting chaotic time series, Physical Review Letters 59 (1987) 845-848.
11. R. W. Farebrother, On hyperplanes of closest fit, Computational Statistics and Data Analysis 19 (1995) 53-58.
12. K. French, Stock returns and the weekend effect, Journal of Financial Economics 8 (1980) 55-70.
13. M. Gibbons and P. Hess, Day of the week effects and asset returns, Journal of Business 54 (1981) 579-596.
14. D. M. Hawkins, Convergence of the feasible solution algorithm for least median of squares regression, Computational Statistics and Data Analysis 19 (1995) 519-538.
15. T. Hiraki and E. D. Maberly, Are preholiday returns in Tokyo really anomalous? If so, why? Pacific-Basin Finance Journal 3 (1995) 93-111.
16. K. Holden, J. Thompson and Y. Ruangrit, The Asian crisis and calendar effects on stock returns in Thailand, to appear in European Journal of Operational Research.
17. D. Kugiumtzis, Correction of the correlation dimension for noisy time series, International Journal of Bifurcation and Chaos 7 (1997) 1283-1294.
18. D. Kugiumtzis, State space local linear prediction, in Nonlinear Deterministic Modelling and Forecasting of Economic and Financial Time Series, eds. A. Soofi and L. Cao (Kluwer Academic Publishers, 2001).
19. D. Kugiumtzis, O. C. Lingjærde and N. Christophersen, Regularized local linear prediction of chaotic time series, Physica D 112 (1998) 344-360.
20. C. Kyrtsou, Heterogeneous non-linear trading strategies and routes to chaotic dynamics, working paper, LAMETA, University of Montpellier I (2006).
21. C. Kyrtsou, Evidence for neglected linearity in noisy chaotic models, to appear in International Journal of Bifurcation and Chaos 15(10) (2005) 3391-3394.
22. C. Kyrtsou, Spurious, hidden and mixed complexity in economic time series, mimeo, University of Macedonia, Thessaloniki, Greece (2005).
23. C. Kyrtsou and A. Malliaris, The impact of information signals on market prices, when agents have non-linear trading rules, working paper (2005).
24. C. Kyrtsou and M. Terraza, It is possibly to study chaotic and ARCH behaviour jointly? Application of a noisy Mackey-Glass equation with heteroskedastic errors to the Paris Stock Exchange returns series, Computational Economics 21 (2003) 257-276.
25. J. Lakonishok and S. Smidt, Are seasonal anomalies real? A ninety-year perspective, Review of Financial Studies 1(4) (1988) 403-425.
26. Y.-Z. Liang and O. M. Kvalheim, Robust methods for multivariate analysis A tutorial review, Chemometrics and Intelligent Laboratory Systems 32 (1996) 1-10.
27. F. Lisi and A. Medio, Is a random walk the best exchange rate predictor? International Journal of Forecasting 13 (1997) 255-267.
28. F. Lisi and R. A. Schiavo, A comparison between neural networks and chaotic models for exchange rate prediction, Computational Statistics and Data Analysis 30 (1999) 87-102.
29. S. G. Meidanis and G. S. Donatos, A comparative study of some robust methods for coefficient-estimation in linear regression, Computational Statistics and Data Analysis 23 (1997) 525-540.
30. T. G. Mills and J. A. Coutts, Calendar effects in the London stock exchange FT-SE indices, The European Journal of Finance 1(1) (1995) 79-95.
31. T. C. Mills, C. Siriopoulos, R. N. Markello and D. Harizanis, Seasonality in the Athens stock exchange, Applied Financial Economics 10 (2000) 137-142.
32. R. Mookerjee and Q. Yu, An empirical analysis of the equity markets in China, Review of Financial Economics 8 (1999) 41-60.
33. W. Press, S. Teukolsky, W. Vetterling and B. Flannery, Numerical Recipes in C (Cambridge University Press, 1996).
34. P. J. Rousseeuw, Least median of squares regression, Journal of the American Statistical Association 79 (1984) 871-880.
35. P. J. Rousseeuw and A. M. Leroy, Robust Regression and Outlier Detection (Wiley, 1987).
36. M. S. Rozeff and W. R. Kinley Jr., Capital market seasonality: The case of stock returns, Journal of Financial Economics 3(4) (1976) 379-402.
37. T. Sauer, J. A. Yorke and M. Casdagli, Embedology, Journal of Statistical Physics 65 (1991) 579-616.
38. T. Schreiber, Extremely simple nonlinear noise-reduction method, Physical Review E 47 (1993) 2401-2404.
39. C. Siriopoulos and A. Leontitsis, Nonlinear noise estimation in international capital markets, Multinational Finance Journal 6 (2002) 43-63.
40. F. Takens, Detecting strange attractors in turbulence, Lecture Notes in Mathematics 898 (1981) 366-381.
41. G. Y. N. Tang, Impact of the day-of-the-week effect on diversification of exchange rate risks, International Business Review 6 (1997) 35-51.
42. R. Thaler, Seasonal movements in security prices: II: Weekend, holiday, turn of the month, and intraday effects, Economic Perspectives 1(1) (1987) 169-177.
43. J. A. Víšek, On diversity of estimates, Computational Statistics and Data Analysis 34 (2000) 67-89.