High Frequency Correlation Dynamics and Day-of-the-Week Effect: A Score-Driven Approach in an Emerging Market Stock Exchange

Bahcivan, Hulusi; Cenk C. Karahan High Frequency Correlation Dynamics and Day-of-the-Week Effect: A Score-Driven Approach in an Emerging Market Stock Exchange International Review of Financial Analysis 80: 102008 https://doi.org/10.1016/j.irfa.2021.102008