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

[Brian G. Peterson]

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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