The Day of the Week Effect in the Central European Transition Stock Markets

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

Day of the Week Effects and Asset Returns

Michael R. Gibbons, Patrick J. Hess · The Journal of Business · 1981 · 1.2K citations

Business, Economics, Finance +12

A transaction data study of weekly and intradaily patterns in stock returns

Lawrence Harris · Journal of Financial Economics · 1986 · 823 citations

Business, Business Economics, Finance +16

A Further Investigation of the Weekend Effect in Stock Returns

Donald B. Keim, Robert F. Stambaugh · The Journal of Finance · 1984 · 813 citations

Business, Business Economics, Economics +12