Non-trading day effects in asymmetric conditional and stochastic volatility models
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- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- Barrera, Carlos R., 2010. "Redes neuronales para predecir el tipo de cambio diario," Working Papers 2010-001, Banco Central de Reserva del Perú.
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