Mckenzie, Andrew M.; Thomsen, Michael R.; Dixon, Bruce L. - In: Journal of Futures Markets 24 (2004) 6, pp. 533-555
Simulations are conducted to assess the inferential accuracy of statistical event study approaches using daily futures returns. Methods examined include constant mean return models and several regression models—OLS, GARCH(1,1), and a GARCH(1,1) model having an error term with a Student's t...
