[R-SIG-Finance] effects of events that happened at the same time

[Alec Schmidt]

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

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