Exploring the Impact of Calendar Effects on the Dynamic Structure and Forecasts of Financial Time Series

Posted: 24 Jul 2007

See all articles by Catherine Kyrtsou

Catherine Kyrtsou

University of Macedonia - Department of Economics; University of Strasbourg - BETA

Alexandros Leontitsis

University of Ioannina - Department of Education

Costas Siriopoulos

Zayed University, College of Business; University of Patras - Business Administration

Abstract

Several recently developed chaotic forecasting methods give better results than the random walk forecasts. However they do not take into account specific regularities of stock returns reported in empirical finance literature, such as the calendar effects. In this paper, we present a method for filtering the day-of-the-week and the holiday effect in a time series. Our main objective is twofold. On the one hand we study how the underlying dynamics of the Nasdaq Composite, and TSE 300 Composite returns series can be influenced by the presence of calendar effects. On the other hand we adapt our method to chaotic forecasting. Its computational advantages lead to significant improvements of forecasts.

Keywords: Mackey-Glass-GARCH, Calendar Effects, Forecasting

JEL Classification: C52, C53, G14

Suggested Citation

Kyrtsou, Catherine and Leontitsis, Alexandros and Siriopoulos, Costas, Exploring the Impact of Calendar Effects on the Dynamic Structure and Forecasts of Financial Time Series. International Journal of Theoretical and Applied Finance, Vol. 9, No. 1, 2006, Available at SSRN: https://ssrn.com/abstract=1002566

Catherine Kyrtsou (Contact Author)

University of Macedonia - Department of Economics ( email )

Egnatia str., 156
Thessaloniki 54006
Greece

HOME PAGE: http://www.uom.gr/index.php?newlang=eng&tmima=3&categorymenu=2

University of Strasbourg - BETA

61 avenue de la Forêt Noire
67085 Strasbourg Cedex
France

HOME PAGE: http://cournot2.u-strasbg.fr/users/beta/

Alexandros Leontitsis

University of Ioannina - Department of Education ( email )

Campus Psathaki
Ioannina, Epirus 48100
Greece

Costas Siriopoulos

Zayed University, College of Business ( email )

P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of Patras - Business Administration ( email )

Patras
Greece

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