Non-trading day effects in asymmetric conditional and stochastic volatility models
Year of publication: |
2007
|
---|---|
Authors: | Asai, Manabu ; McAleer, Michael |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 10.2007, 1, p. 113-123
|
Subject: | Börsenkurs | Share price | Wechselkurs | Exchange rate | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | USA | United States | Japan | 1982-2003 |
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