Wang, Yaw-Huei; Hsiao, Yu-Jen - In: Review of Pacific Basin Financial Markets and Policies … 13 (2010) 04, pp. 607-620
Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods...
