Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

Nabil Bouamara, Kris Boudt, Sébastien Laurent, and Christopher J. Neely

Year of publication:	[2024]
Authors:	Bouamara, Nabil ; Boudt, Kris ; Laurent, Sébastien ; Neely, Christopher J.
Publisher:	St. Louis, MO : Federal Reserve Bank of St. Louis, Research Division
Subject:	Asynchronicity \| Cojumps \| High-frequency data \| Microstructure noise \| Realized Covariance \| Rearrangement \| Marktmikrostruktur \| Market microstructure \| Börsenkurs \| Share price \| Korrelation \| Correlation \| Volatilität \| Volatility \| Ankündigungseffekt \| Announcement effect \| Noise Trading \| Noise trading \| Zeitreihenanalyse \| Time series analysis

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