Intraday event studies apply the event study methodology to intraday trading data of assets, e.g., minute-by-minute data. This higher level of granularity becomes possible by the rapidly increasing availability of high-frequency data. It allows for more precise analyses on the economic impacts of events - assuming the pre-conditions of a highly efficient market are given.
There are two groups of significance test methods for intraday event studies, traditional methods, and the so-called jump detection techniques.
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Modern jump detection techniques
Modern jump detection techniques exploit characteristics of intraday data and address issues pertaining to the data, such as microstructure noise.
- Bi-Power Variation:
- Jiang-Omen Statistics:
- Statistical Finance: