1. Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie.
   In: Energy Economics.
   RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2. Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance. (2021). Lin, Yu-Cheng ; Liu, Hsiang-Hsi.
   In: Bulletin of Applied Economics.
   RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:121-148.

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3. Price gap anomaly in the US stock market: The whole story. (2020). Wohar, Mark ; Sibande, Xolani ; Plastun, Alex ; GUPTA, RANGAN.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300747.

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4. Calendar Anomalies in the Ukrainian Stock Market. (2016). Plastun, Alex ; Caporale, Guglielmo Maria.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1573.

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5. Calendar Anomalies in the Ukrainian Stock Market. (2016). Plastun, Alex ; Caporale, Guglielmo Maria.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_5877.

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6. Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility. (2015). Kim, Hwagyun ; Park, Joon Y. ; Jeong, Daehee.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:115:y:2015:i:2:p:361-382.

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7. The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?. (2015). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1458.

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8. The Weekend Effect: A Trading Robot and Fractional Integration Analysis. (2014). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1386.

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9. The Weekend Effect: A Trading Robot and Fractional Integration Analysis. (2014). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_4849.

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10. Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market. (2011). Georgantopoulos, Andreas ; Tsamis, Anastasios.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2011-04-7.

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11. Multinational Electricity Market Integration and Electricity Price Dynamics. (2008). Rudholm, Niklas ; Hellstrom, Jorgen ; Lundgren, Jens.
    In: HUI Working Papers.
    RePEc:hhs:huiwps:0016.

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12. Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations.. (2007). MAHMOOD, WAN MANSOR ; Zainal Abidin, Shahida Nadia, ; Wan Mahmood, Wan Mansor, .
    In: MPRA Paper.
    RePEc:pra:mprapa:13326.

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13. Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies. (2007). Paton, David ; Harrison, B.
    In: Economic Issues Journal Articles.
    RePEc:eis:articl:207harrison.

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14. Transition, the Evolution of Stock Market Efficiency and Entry into EU: The Case of Romania. (2005). Paton, David.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:37:y:2005:i:3:p:203-223.

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15. Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic. (2004). Harrison, Barry.
    In: NBS Discussion Papers in Economics.
    RePEc:nbs:wpaper:2004/3.

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16. The Reversing Weekend Effect: Evidence from the U.S. Equity Markets. (2004). Gu, Anthony Yanxiang.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:22:y:2004:i:1:p:5-14.

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17. Transition, the Evolution of Stock Market Efficiency and Entry into EU: The Case of Romania. (2004). Paton, David.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:37:y:2004:i:3:p:203-223.

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18. Margin requirements across equity-related instruments: how level is the playing field?. (2003). Fortune, Peter.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:2003:p:31-50.

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19. The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market. (2002). Martins, Nuno C. ; Balbina, Miguel.
    In: Working Papers.
    RePEc:ptu:wpaper:w200211.

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20. Margin lending and stock market volatility. (2001). Fortune, Peter.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:2001:p:3-25:n:4.

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21. Failures in risk management. (2000). Kimball, Ralph.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:2000:i:jan:p:3-12.

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22. VOLATILITY OF CASH CORN PRICES BY DAY-OF-THE-WEEK. (2000). Rudel, Richard K. ; McCamley, Francis.
    In: 2000 Annual meeting, July 30-August 2, Tampa, FL.
    RePEc:ags:aaea00:21873.

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1. Abraham, Abraham and David Ikenberry. 1994. The Individual Investor and the Weekend Effect. Journal of Financial and Quantitative Analysis, 29, June, pp. 263--77.

2. Beckers, Stan. 1981. A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns. Journal of Financial and Quantitative Analysis, 16, March, pp. 127--38.

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6. Fortune, Peter. 1998. A Primer on Stock Price Indices. Federal Reserve Bank of Boston, New England Economic Review, November /December, pp. 25-- 40.

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9. Harris, Lawrence. 1986. A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns. Journal of Financial Economics, 16, May, pp. 99 --117.

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11. Johnson, Gordon and Thomas Schneeweiss. 1994. Jump Diffusion Processes in the Foreign Exchange Markets and the Release of Macroeconomic News. Computational Economics 7, pp.

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16. Ziemba, William. 1993. Comment on `Why a Weekend Effect? Journal of Portfolio Management, Winter, pp. 93--99.
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1. Day-of-the-week returns and mood: an exterior template approach. (2017). Zilca, Shlomo.
   In: Financial Innovation.
   RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0079-4.

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2. The evolution and cross-section of the day-of-the-week effect. (2017). Zilca, Shlomo.
   In: Financial Innovation.
   RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0077-6.

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3. Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan. (2014). Rashid, Kashif ; Haq, Ikram ul .
   In: Oeconomics of Knowledge.
   RePEc:eok:journl:v:6:y:2014:i:1:p:10-31.

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4. DOW effects in returns and in volatility of stock markets during quiet and turbulent times. (2013). Stefanescu, Razvan ; DUMITRIU, Ramona.
   In: MPRA Paper.
   RePEc:pra:mprapa:47218.

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5. A reexamination of capital controls’ effectiveness: Recent experience of Thailand. (2012). Tantisantiwong, Nongnuch ; Abhakorn, Pongrapeeporn.
   In: Journal of Asian Economics.
   RePEc:eee:asieco:v:23:y:2012:i:1:p:26-38.

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6. The friday the thirteenth effect in stock prices: international evidence using panel data. (2011). Khaled, Mohammed ; Keef, Stephen.
   In: Working Paper Series.
   RePEc:vuw:vuwecf:1994.

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7. THE SEASONALITY OF MARKET INTEGRATION: CASE OF INDONESIAN STOCK MARKETS. (2011). Herwany, Aldrin ; Brahmana, Rayenda.
   In: 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding.
   RePEc:cms:2icb11:2011-439.

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8. An investigation of the weekend effect during different market orientations. (2010). Rao, Spuma ; Fuller, Phillip ; Boudreaux, Denis.
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:34:y:2010:i:3:p:257-268.

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9. The impact of daily return limit and segmented clientele on stock returns in China. (2010). Yu, Xiaoyan ; Ben-Zion, Uri ; Kedar-Levy, Haim ; Kamesaka, Akiko.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:19:y:2010:i:4:p:223-236.

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10. Individual investors surpass their reputation: Trading behaviour on the Polish futures market. (2010). Bohl, Martin T. ; Bialkowski, Jedrzej ; Goodfellow, Christiane.
    In: Economic Systems.
    RePEc:eee:ecosys:v:34:y:2010:i:4:p:480-492.

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11. The Monday effect in U.S. cotton prices. (2009). Keef, Stephen ; Zhu, Hui.
    In: Agribusiness.
    RePEc:wly:agribz:v:25:y:2009:i:3:p:427-448.

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12. Investigation about the presence of the day – of - the - week effect in the Bucharest Stock Exchange. (2009). Stefanescu, Razvan ; DUMITRIU, Ramona ; NISTOR, Costel .
    In: MPRA Paper.
    RePEc:pra:mprapa:41749.

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13. Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey. (2009). Yücel, Mustafa ; Tokel, Emre.
    In: MPRA Paper.
    RePEc:pra:mprapa:15704.

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14. Calendar Anomalies: The Case of International Property Shares. (2009). Ben-Hamo, Yair ; Brounen, Dirk.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:38:y:2009:i:2:p:115-136.

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15. Japanese day-of-the-week return patterns: New results. (2009). Boynton, Wentworth ; Reid, Sean F. ; Oppenheimer, Henry R..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:20:y:2009:i:1:p:1-12.

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16. The dynamics of the Monday effect in international stock indices. (2009). Khaled, Mohammed ; Keef, Stephen ; Zhu, Hui.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:3:p:125-133.

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17. Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US. (2008). Savva, Christos ; Osborn, Denise ; Gill, Len.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:6:y:2008:i:3:p:307-325.

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18. The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. (2008). Saadi, Samir ; Baker, Kent H. ; Rahman, Abdul.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:4:p:280-295.

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19. Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution. (2008). Su, Yuli ; Huang, Ying ; Chen, Carl R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:789-798.

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20. Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations.. (2007). MAHMOOD, WAN MANSOR ; Zainal Abidin, Shahida Nadia, ; Wan Mahmood, Wan Mansor, .
    In: MPRA Paper.
    RePEc:pra:mprapa:13326.

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21. Return autocorrelation anomalies in two European stock markets. (2007). Blandon, Jose Garcia.
    In: Revista de Analisis Economico – Economic Analysis Review.
    RePEc:ila:anaeco:v:22:y:2007:i:1:p:59-70.

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22. On the behavioral differences between professional and amateur investors after the weekend. (2007). Shapira, Zur ; Venezia, Itzhak.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:5:p:1417-1426.

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23. The Disappearing Calendar Anomalies in the Singapore Stock Market. (2006). Wong, Wing-Keung ; Agarwal, Aman.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:11:y:2006:i:2:p:123-139.

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24. The Friday Effect in European Securitized Real Estate Index Returns. (2006). Marquering, Wessel ; Lenkkeri, Veera ; Strunkmann-Meister, Ben .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:33:y:2006:i:1:p:31-50.

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25. An analysis of private investors stock market return forecasts. (2005). Theissen, Erik.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0516.

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26. Day‐of‐the‐Week Effect in High Moments. (2005). Kedarlevy, Haim ; Galai, Dan.
    In: Financial Markets, Institutions & Instruments.
    RePEc:wly:finmar:v:14:y:2005:i:3:p:169-186.

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27. Day-of-the-week effects in the pre-holiday returns of the Standard & Poors 500 stock index. (2005). Keef, Stephen ; Roush, Melvin L..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:2:p:107-119.

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28. Day-of-the-week effects: New Zealand bank bills, 1985-2000. (2004). Keef, Stephen ; Roush, Melvin L..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:12:p:859-873.

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29. Information processing and the UK weekend effect: do investors cut their losses on Mondays?. (2004). Steeley, James.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:14:p:895-899.

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30. The Reversing Weekend Effect: Evidence from the U.S. Equity Markets. (2004). Gu, Anthony Yanxiang.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:22:y:2004:i:1:p:5-14.

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31. Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt. (2003). Hacker, Mirko ; Oehler, Andreas.
    In: Discussion Papers.
    RePEc:zbw:bamfin:20.

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32. The reverse weekend effect: the U.S. market versus international markets. (2003). Liu, PU ; Brusa, Jorge ; Schulman, Craig.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:3:p:267-286.

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33. New findings regarding return autocorrelation anomalies and the importance of non-trading periods. (2001). Garcia-Blandon, Josep.
    In: Economics Working Papers.
    RePEc:upf:upfgen:585.

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34. The day-of-the-week regularity in the stock markets of China. (2001). Rui, Oliver ; Kwok, Chuck C. Y., ; Chen, Gongmeng.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:2:p:139-163.

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35. The impact of public information on investors. (2001). Nofsinger, John R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:7:p:1339-1366.

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36. Federal Open Market Committee meetings and stock market performance. (2001). Tori, Cynthia Royal.
    In: Financial Services Review.
    RePEc:eee:finser:v:10:y:2001:i:1-4:p:163-171.

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37. Elusive anomalies in the Brazilian stock market. (2001). Madureira, Leonardo ; Leal, Ricardo P. C., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:10:y:2001:i:2:p:123-134.

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38. VOLATILITY OF CASH CORN PRICES BY DAY-OF-THE-WEEK. (2000). Rudel, Richard K. ; McCamley, Francis.
    In: 2000 Annual meeting, July 30-August 2, Tampa, FL.
    RePEc:ags:aaea00:21873.

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39. Losing Sleep at the Market: The Daylight Saving Anomaly. (2000). Kramer, Lisa ; Kamstra, Mark ; Levi, Maurice D..
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1005-1011.

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40. Are stock returns different over weekends? a jump diffusion analysis of the \weekend effect\. (1999). Fortune, Peter.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:1999:i:sep:p:3-19.

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41. Weekends can be rough: revisiting the weekend effect in stock prices. (1998). Fortune, Peter.
    In: Working Papers.
    RePEc:fip:fedbwp:98-6.

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42. Closed-end funds and sentiment risk. (1998). Severn, Alan K..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:7:y:1998:i:1:p:103-119.

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43. US day-of-the-week effects and asymmetric responses to macroeconomic news. (1998). Ravichandran, R. ; Pinegar, Michael J. ; Chang, Eric C..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:5:p:513-534.

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44. A Tax-Free Exploitation of the Turn-of-the-Month Effect: C.R.E.F.. (1998). Compton, William S. ; Kunkel, Robert A..
    In: Financial Services Review.
    RePEc:eee:finser:v:7:y:1998:i:1:p:11-23.

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45. The individual investor and the weekend effect: A reexamination with intraday data. (1997). Brooks, Raymond M. ; Kim, Hong Shik.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:37:y:1997:i:3:p:725-737.

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46. Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock. (1997). Sauer, David A. ; Chen, Carl R..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:37:y:1997:i:3:p:683-696.

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47. Interday variations in volume, variance and participation of large speculators. (1997). Schachter, Barry ; Pinegar, Michael J. ; Chang, Eric C..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:6:p:797-810.

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48. The day-of-the-week effect: The international evidence. (1996). Louvet, P. ; Dubois, M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:9:p:1463-1484.

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49. Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation. (1995). Balaban, Ercan.
    In: Discussion Papers.
    RePEc:tcb:dpaper:9502.

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50. Day of the Week Effects : New Evidence from an Emerging Stock Market. (1994). Balaban, Ercan.
    In: Discussion Papers.
    RePEc:tcb:dpaper:9410.

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