Corporate bond returns and weekday seasonality, J. Appl. Bus. Res, vol.13, 2011. ,
The January effect across volatility regimes, Quant. Financ, vol.11, pp.947-953, 2011. ,
Anomalies or illusions? Evidence from stock markets in eighteen countries, J. Int. Money Financ, vol.13, pp.83-106, 1994. ,
Endogenous financial and trade openness, Rev. Dev. Econ, vol.13, pp.175-189, 2009. ,
Does the January effect exist in high-yield bond market?, Rev. Financ. Econ, vol.10, pp.71-80, 2001. ,
Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, vol.62, 1383. ,
Computation and analysis of multiple structural change models, J. Appl. Econom, vol.18, pp.1-22, 2003. ,
The message in daily exchange rates, J. Bus. Econ. Stat, vol.20, pp.60-68, 2002. ,
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 1995, 1996.
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 1998, 1999.
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2001, 2002.
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2004, 2005.
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2007, 2007.
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2010, 2010.
, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2013, 2013.
, Triennial Central Bank Survey of Foreign Exchange and OTC Derivatives Markets in 2016, 2016.
Day of the week effect on foreign exchange market volatility: Evidence from Turkey, Res. Int. Bus. Financ, vol.21, pp.87-97, 2007. ,
Macroeconomic determinants of real exchange rates, Managing Foreign Exchange Risk, 1983. ,
A Model of Exchange-rate Determination with Policy Reaction: Evidence from Monthly Data (No. 1135), Research working paper series, National Bureau of Economic Research, 1983. ,
International portfolio investment flows, J. Finance, vol.52, pp.1851-1880, 1997. ,
Day-of-week effects in tests of forward foreign exchange rate unbiasedness, Int. J. Financ. Econ, vol.4, pp.193-204, 1999. ,
The Weekend Effect: A trading Robot and Fractional Integration Analysis, CESifo Working Paper Series, 2014. ,
Intraday anomalies and market efficiency: A trading robot analysis, Comput. Econ, vol.47, pp.275-295, 2016. ,
The Uncovered Return Condtion, Working Paper Series, issue.812, 2007. ,
Optimal test for markov switching parameters, Econometrica, vol.82, pp.765-784, 2014. ,
Are exchange rates really free from seasonality ? An exploratory analysis on monthly time series, Open Econ. J, vol.4, pp.44-48, 2011. ,
Seasonal processes in the Euro-US dollar daily exchange rate, Appl. Financ. Econ, vol.24, 2014. ,
What do stock markets tell us about exchange rates?, Rev. Financ, vol.20, pp.1045-1080, 2016. ,
Flight-to-quality and correlation between currency and stock returns, J. Bank. Financ, vol.62, pp.191-212, 2016. ,
Month of the year effect and January effect in pre-WWI stock returns: Evidence from a non-linear GARCH model, Int. J. Financ. Econ, vol.6, pp.1-11, 2001. ,
Seasonalities and intraday return patterns in the foreign currency futures market, J. Bank. Financ, vol.19, issue.95, p.84, 1995. ,
Uncovered equity parity and rebalancing in international portfolios, J. Int. Money Financ, vol.47, pp.86-99, 2014. ,
,
A portfolio balance approach to the Canadian-U.S. exchange rate, Rev. Financ. Econ, vol.16, pp.305-320, 2007. ,
Hypothesis testing when a nuisance parameter is present only under the alternative, Biometrika, vol.74, pp.33-43, 1987. ,
Maximum likelihood from incomplete data via the EM algorithm, J. R. Stat. Soc. Ser. B, vol.39, pp.1-38, 1977. ,
Ukrainian financial markets: an examination of calendar anomalies, Manag. Financ, vol.36, pp.502-510, 2010. ,
Testing for linearity in Markov switching models: A bootstrap approach, Stat. Methods Appl, vol.18, pp.153-168, 2009. ,
Distribution of the estimators for autoregressive time series with a unit root, J. Am. Stat. Assoc, vol.74, pp.427-431, 1979. ,
International order flows: Explaining equity and exchange rate returns, J. Int. Money Financ, vol.29, pp.358-386, 2010. ,
Efficient tests for an autoregressive unit root, Econometrica, vol.64, 1996. ,
Efficient capital markets: A review of theory and empirical work, J. Finance, vol.25, 1970. ,
Equity order flow and exchange rate dynamics, J. Empir. Financ, vol.19, pp.359-381, 2012. ,
A mathematical examination of the methods of determining the accuracy of observation by the mean error, and by the mean square error, Mon. Not. R. Astron. Soc, vol.80, pp.758-770, 1920. ,
The monthly and trading month effects in Greek stock market returns, Manag. Financ, vol.34, pp.453-464, 1996. ,
Calendar anomalies in cash and stock index futures: International evidence, Econ. Model, vol.37, pp.216-223, 2014. ,
Monetary and portfolio-balance models of exchange rate determination, Economic Interdependence and Flexible Exchange Rates. MIT, pp.84-115, 1983. ,
Empirical research on nominal exchange rates, pp.80013-80022, 1995. ,
Nonlinear time series models in empirical finance, 2000. ,
Uncovered equity "disparity" in emerging markets, SSRN Electron. J. 1-55, 2018. ,
What's in a Name? That Which We Call Capital Controls, IMF working papers, 2016. ,
Stock market seasonality: International evidence, J. financ. econ, vol.12, pp.469-481, 1983. ,
Private information, capital flows, and exchange rates, J. Int. Money Financ, vol.81, pp.40-55, 2018. ,
A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, vol.57, 1989. ,
Macroeconomic regimes and regime shifts, Handbook of Macroeconomics, pp.163-201, 2016. ,
,
The determination of the order of an autoregression, J. R. Stat. Soc. Ser. B, vol.41, pp.190-195, 1979. ,
Exchange rates, equity prices, and capital flows, Rev. Financ. Stud, vol.19, pp.273-317, 2006. ,
Global portfolio rebalancing under the microscope (No. 14165), NBER Working Paper Series, National Bureau of Economic Research, 2008. ,
The statistical properties of daily foreign exchange rates: 1974-1983, J. Int. Econ, vol.24, pp.90025-90031, 1988. ,
Day-of-the-week effect in the Taiwan foreign exchange market, J. Bank. Financ, vol.31, pp.2847-2865, 2007. ,
, Carry. J. financ. econ, vol.127, pp.197-225, 2018.
Use of ranks in one-criterion variance analysis, J. Am. Stat. Assoc, vol.47, pp.583-621, 1952. ,
Revisiting calendar anomalies: Three decades of multicurrency evidence, J. Econ. Bus, vol.86, pp.16-32, 2016. ,
On the disappearance of calendar anomalies: Have the currency markets become efficient?, Stud. Econ. Financ, vol.35, pp.441-456, 2018. ,
Do the calendar anomalies still exist? Evidence from Indian currency market, Manag. Financ, vol.42, pp.136-150, 2016. ,
Testing the null hypothesis of stationarity against the alternative of a unit root, J. Econom, vol.54, p.90104, 1992. ,
Are seasonal anomalies real? A ninety-year perspective, Rev. Financ. Stud, vol.1, pp.403-425, 1988. ,
A computationally efficient feasible sequential quadratic programming algorithm, SIAM J. Optim, vol.11, pp.1092-1118, 2001. ,
Robust tests for equality of variances, Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling, pp.278-292, 1960. ,
Monthly seasonality in currency returns: 1970-2010, JASSA Finsia J. Appl. Financ, pp.6-11, 2011. ,
Monthly and semi-annual seasonality in the Irish equity market 1934-2000, Appl. Financ. Econ, vol.14, pp.203-208, 2004. ,
The January effect in the corporate bond market: A systematic examination, Financ. Manag, vol.27, 1998. ,
The distribution of foreign exchange price changes: Trading day effects and risk measurement, J. Finance, vol.37, 1982. ,
The distribution of foreign exchange price changes: Trading day effects and risk measurement-A reply, J. Finance, vol.42, pp.189-194, 1987. ,
Anomalies in US equity markets: A re-examination of the January effect, Appl. Financ. Econ, vol.12, pp.141-145, 2002. ,
Lag length selection and the construction of unit root tests with good size and power, Econometrica, vol.69, pp.1519-1554, 2001. ,
A new nonparametric Levene test for equal variances, Psicologica, vol.31, pp.401-430, 2010. ,
Towards a unified asymptotic theory for autoregression, Biometrika, vol.74, pp.535-547, 1987. ,
Testing for a unit root in time series regression, Biometrika, vol.75, pp.335-346, 1988. ,
On the determination of the number of regimes in Markov-switching autoregressive models, J. Time Ser. Anal, vol.24, pp.237-252, 2003. ,
Capital market seasonality: The case of stock returns, J. financ. econ, vol.3, pp.379-402, 1976. ,
The economics of exchange rates, 2003. ,
Markov-switching model selection using Kullback-Leibler divergence, J. Econom, vol.134, pp.553-577, 2006. ,
Risk and the January effect, J. Bank. Financ, vol.34, pp.965-974, 2010. ,
Certain observations on seosonal movements in stock prices, J. Bussiness Univ. Chicago, vol.15, pp.184-193, 1942. ,
The day-of-the-week effect in foreign exchange markets: Multi-currency evidence, Res. Int. Bus. Financ, vol.18, pp.51-57, 2004. ,
Are monthly seasonals real? A three century perspective, Rev. Financ, vol.17, pp.1743-1785, 2013. ,
Further evidence on the great crash, the oil-price shock, and the unitroot hypothesis, J. Bus. Econ. Stat, vol.20, pp.25-44, 2002. ,
, 21%) with average duration of 9.94 months. Total: 311 months (64.79%) with average duration of 18, vol.35, p.169