A generalised seasonality test and applications for cryptocurrency and stock market seasonality.
(2022)
Journal Article
SHANAEV, S. and GHIMIRE, B. 2022. A generalised seasonality test and applications for cryptocurrency and stock market seasonality. Quarterly review of economics and finance [online], 86, pages 172-185. Available from: https://doi.org/10.1016/j.qref.2022.07.002
This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows to test for existence of any seasonal patterns against the broad null hypothesi... Read More about A generalised seasonality test and applications for cryptocurrency and stock market seasonality..