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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 2007 - 2007 - 113 - 123 V. 10 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Symmetric and asymmetric conditional volatility;Exponential conditional volatility;Stochastic volatility;Non trading day;Non nested;

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