AN EXAMINATION OF THE ROBUSTNESS OF THE WEEKEND EFFECT

[1] ASYMPTOTIC THEORY OF LEAST ABSOLUTE ERROR REGRESSION [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1978, 73 (363) : 618 - 622

[2] BASSETT G, 1982, J AM STAT ASSOC, V77, P407

[3] Belsley D. A., 1980, REGRESSION DIAGNOSTI

[4] BERA AK, 1982, J ECONOMETRICS, V20, P58

[5] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J]. JOURNAL OF BUSINESS, 1974, 47 (02) : 244 - 280

[6] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J]. JOURNAL OF ECONOMETRICS, 1986, 31 (03) : 307 - 327

[7] A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN [J]. REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) : 542 - 547

[8] BOLLERSLEV TP, 1988, INTEGRATED ARCH COIN

[9] THE BIAS OF A HETEROSKEDASTICITY CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J]. ECONOMETRICA, 1987, 55 (05) : 1217 - 1222

[10] CONNOLLY RA, 1988, GARCH MODELS EQUITY

[1] ASYMPTOTIC THEORY OF LEAST ABSOLUTE ERROR REGRESSION [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1978, 73 (363) : 618 - 622

[2] BASSETT G, 1982, J AM STAT ASSOC, V77, P407

[3] Belsley D. A., 1980, REGRESSION DIAGNOSTI

[4] BERA AK, 1982, J ECONOMETRICS, V20, P58

[5] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J]. JOURNAL OF BUSINESS, 1974, 47 (02) : 244 - 280

[6] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J]. JOURNAL OF ECONOMETRICS, 1986, 31 (03) : 307 - 327

[7] A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN [J]. REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) : 542 - 547

[8] BOLLERSLEV TP, 1988, INTEGRATED ARCH COIN

[9] THE BIAS OF A HETEROSKEDASTICITY CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J]. ECONOMETRICA, 1987, 55 (05) : 1217 - 1222

[10] CONNOLLY RA, 1988, GARCH MODELS EQUITY