Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/inderscience-publishers/a-new-online-method-for-event-detection-and-tracking-empirical-3RqEVHyYAy
References
References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.
- Publisher
- Inderscience Publishers
- Copyright
- Copyright © Inderscience Enterprises Ltd. All rights reserved
- ISSN
- 1752-7767
- eISSN
- 1752-7775
- DOI
- 10.1504/AJFA.2008.019877
- Publisher site
- See Article on Publisher Site
Abstract
In this article we propose a new approach in event studies based on a hidden Markov chain combined with a classical event study model. The number of states informs us about the number of significant events affecting the related market, and the identification of the hidden states determines exactly the delimiters of the event period. Studying each state parameters allows us to examine the events' effect on the related market and to compare results to traditional event analysis. Extensive Monte Carlo simulations and preliminary examination of real data in the French stock market show promising results.
Journal
American Journal of Finance and Accounting – Inderscience Publishers
Published: Jan 1, 2008