Alternative multivariate stochastic  volatility (MSV)  models with leverage have been proposed in the literature. However, the existing MSV with leverage models are unclear about the definition of leverage, specifically the timing of the relationship between the innovations in financial...

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...