Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
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DOI: 10.20955/wp.2024.006
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- Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
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More about this item
Keywords
asynchronicity; cojumps; high-frequency data; microstructure noise; realized covariance; rearrangement;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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