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Yes, the screw-in filters usually have two threads - one to connect to the lens and one to receive another filter. I suppose you may find some budget filters without a 'front thread', but most have both.
The Cokin filter holder has two springs on each side to grip two filters quite firmly, but there's room for another in between. I can't really see of any occasion when I'd want to use three, but perhaps if I only had two ND filters and still wanted something extra for a very bright sky - it could take an ND Grad. I haven't tried any other square filter systems - but I'd like to!
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