Non-trading day effects in asymmetric conditional and stochastic volatility models

Manabu Asai and Michael McAleer

Econometrics Journal, 2007, vol. 10, issue 1, pages 113-123

Abstract: 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

Date: 2007

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.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jean-Marc Robin, Alessio Sancetta and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().