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 [[alternative HTML version deleted]]