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Estimating daily seasonals in financial time series. The use of high-pass specials filters. (English) Zbl 0800.62774
MSC:
62P20 Applications of statistics to economics
91B84 Economic time series analysis
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References:
[1] Baillie, R.T.; Bollerslev, T., The message in daily exchange rates: A conditional variance tale, Journal of business and economic statistics, 7, no. 3, 297-305, (1989)
[2] Copeland, L.S., Efficiency of the forward market day by day and month by month, Applied financial economics, (1993), forthcoming
[3] ()
[4] French, K., Stock returns and the weekend effect, Journal of financial economics, 55-69, (1980), March
[5] Hsieh, D.A., Testing for nonlinear dependence in daily foreign exchange rates, Journal of business, 62, 339-368, (1989)
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