Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu and Mcaleer, Michael
Non-trading day effects in asymmetric conditional and stochastic volatility models J8302 2007 - 2007 - 113-123 V. 10 Issue. 1
Econometrics
Symmetric and asymmetric conditional volatility;Exponential conditional volatility;Stochastic volatility;Non trading day;Non nested;Monte carlo likelihood;
Non-trading day effects in asymmetric conditional and stochastic volatility models J8302 2007 - 2007 - 113-123 V. 10 Issue. 1
Econometrics
Symmetric and asymmetric conditional volatility;Exponential conditional volatility;Stochastic volatility;Non trading day;Non nested;Monte carlo likelihood;