Non-trading day effects in asymmetric conditional and stochastic volatility models
Manabu Asai and
Econometrics Journal, 2007, vol. 10, issue 1, pages 113-123
It is well known that non-trading days (or holidays) can have significant effects on the returns in financial series. In this paper, we analyze three models of non-trading day effects in stochastic volatility models with leverage effects, namely (i) the approach based on the dummy variable in conditional volatility models; (ii) the approach based on a discrete time approximation of a continuous time stochastic volatility model and (iii) the twin non-trading day stochastic volatility model which nests the above two models. The three models are also estimated and tested within the asymmetric and exponential conditional volatility frameworks. All the models within the stochastic, asymmetric conditional and exponential conditional volatility frameworks are estimated and compared using a selection of financial returns series. Copyright Royal Economic Society 2007
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00201.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:1:p:113-123
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().