Synthetic portfolio for event studies: Estimating the effects of volatility call auctions
We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactua...
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| Formato: | Tesis de maestría (Master Thesis) |
| Lenguaje: | Español (Spanish) |
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Universidad del Rosario
2016
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/12271 |