2 papers
econ.EM2023
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Nabil Bouamara, Kris Boudt, Sébastien Laurent +1
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle…
econ.EM2023
Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications
Nabil Bouamara, Sébastien Laurent, Shuping Shi
We introduce a simple tool to control for false discoveries and identify individual signals in scenarios involving many tests, dependent test statistics, and potentially sparse sig…