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Análisis no paramétrico de estacionalidad en los rendimientos de la Deuda Pública española
Alicia de las Heras |
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In the empirical papers that test asset pricing models It is more and more usual to employ high frequency data. This fact brings us the opportunity, or perhaps the necessity, to analyze the seasonal patterns, if any, in these data. In this paper we test the presence of calendar effects in the Spanish Public Debt daily returns since 1990 to 2001. Then, we compare the evidence showed with the behavior of the simultaneous equity daily returns. Specifically we analyze the day-of –the-week, the-week-of-the-month and the-month-of-the-year effects using non-parametric techniques. The results show dependence of the returns behavior on the assets characteristics.
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