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- Wed Mar 16, 2016 7:59 am
- Forum: Econometric Discussions
- Topic: GARCH Calendar effects serial correlation
- Replies: 5
- Views: 7666
GARCH Calendar effects serial correlation
Hi All, I have some issues with models for my undergraduate thesis and my supervisor is not particularly helpful. I am investigating calendar effects (month, day of the week, and trading month). What I have issues with is serial correlation. I am using greek, spanish and italian index returns. The v...