Thank you Brian,
Unfortunately all timestamps are the same (all announcements are published
after trading hours on the same day). I'm thinking now about comparing
synthetic combos (sums of various Z-scores) to find which combo has the highest
impact.
Regards, Alec
________________________________
From: Brian G. Peterson <br...@braverock.com>
Sent: Thursday, May 21, 2020 5:08 PM
To: Alec Schmidt <aschm...@stevens.edu>; r-sig-finance@r-project.org
<r-sig-finance@r-project.org>
Subject: Re: [R-SIG-Finance] effects of events that happened at the same time
On Thu, 2020-05-21 at 19:17 +0000, Alec Schmidt wrote:
I usually use some arma (+garch) model with dummy variables to study the
effects of various events that happen on different days. I wonder if there is
some way to discern their impacts if the events happen simultaneously, e.g. all
macroeconomic announcements in some country are published on the last days of
the month.
Thanks! Alec
The usual way of dealing with intreaday events is to use intraday data. tick,
minute, or hourly data is widely available globally.
Regards,
Brian
--
Brian G. Peterson
ph: +1.773.459.4973
im: bgpbraverock
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