Day-of-the-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomenon |
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| Authors: | Eric James Higgins David R. Peterson |
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| Affiliation: | Drexel University;Florida State University |
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| Abstract: | This study examines whether autocorrelations or cross-autocorrelations are more closely associated with the weekend phenomenon. Our results show a significant day-of-the-week pattern in autocorrelations associated with the weekend phenomenon. However, we find no marginal influence of a day-of-the-week pattern in cross-autocorrelations on the weekend phenomenon. |
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| Keywords: | cross-autocorrelations autocorrelations weekend day-of-the-week |
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