Testing the dimensionality of policy shocks
This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns' stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the e...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2563 https://ink.library.smu.edu.sg/context/soe_research/article/3562/viewcontent/Testing_the_Dimensionality_of_Policy_Shocks.pdf |
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| Institution: | Singapore Management University |
| Language: | English |