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
On Thu, 2020-05-21 at 19:17 +, 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
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
