The Revision of Systematic Risk on Earnings Announcement in the Presence of Conditional Heteroscedasticity

DOI10.1142/9789811202391_0053zbMath1454.91338OpenAlexW3081508413MaRDI QIDQ5139470

Chin-Chen Chien, Cheng-Few Lee, Unnamed Author

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0053

zbMATH Keywords

Kalman filterCAPMARCH (autoregressive conditional heteroscedasticity)post-earnings-announcement drifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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