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- W143403457 abstract "This paper deals with the analysis of dependence in the US stock market. We focus firston the log-values of the Dow Jones Industrial Average, Standard and Poors 500 andNasdaq indices, daily from February, 1971 to February, 2007. The volatility processesare also examined based on the squared and absolute values of the returns series.Finally, the ?day of the week? effect is also investigated by looking at the orders ofintegration for each day of the week. A new modelling approach to describe thedependence in this context is also presented. The results suggests that there are verysimilar patterns for the Dow Jones Industrial Average, Standard and Poors 500. Further,the lowest degrees of dependence are observed on Mondays and Tuesdays." @default.
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- W143403457 date "2007-01-01" @default.
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- W143403457 title "Salient features of dependence in daily us stock market indices" @default.
- W143403457 hasPublicationYear "2007" @default.
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