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

DOI10.1111/J.1368-423X.2007.00201.XMaRDI QIDQ3594915zbMATH OpenFDO

Authors Manabu Asai, Michael McAleer

Publication date 9 August 2007

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2007.00201.X

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
• ARCH models as diffusion approximations
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Filtering via Simulation: Auxiliary Particle Filters
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• On leverage in a stochastic volatility model
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(4)

• Nonparametric analysis of the Shenzhen stock market: the day of the week effect
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Stylised facts of financial time series and hidden Markov models in continuous time
• Exchange holidays and stock price behavior on the Taiwan stock exchange

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