New evidence on market response to public announcements in the presence of microstructure noise

DOI10.1016/j.ejor.2021.07.030zbMath1490.91103OpenAlexW3183839856MaRDI QIDQ2076860

Philip Garcia, Siyu Bian, Teresa Serra, Scott Irwin

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.07.030

zbMATH Keywords

risk analysisstochastic processuncertainty modelingmicrostructure noise

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

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