Weekday dependence of German stock market returns

Modeling stock index returns by means of

Modeling stock index returns by means of partial least-squares methods: An out-of-sample analysis for three stock markets

✍ Cetin-Behzet Cengiz; Helmut Herwartz 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 498 KB

We analyze the underlying economic forces of the stock markets in Germany, the U.K. and the U.S. Identifying a number of variables evincing return predictability, we follow a partial least-squares (PLS) approach to combine these observables into a few latent factors. Conditional on European markets,