Exclusion period and market model parameter nonstationarities in price reaction studies
推导了错误排除期对残差分析影响的解析表达式，并严格分析了排除期与市场模型参数非平稳性的相互作用，为实证观察提供了理论解释。
Abstract. Analytic expressions are developed for investigating the impact of erroneous exclusion periods on residuals analyses and the problems of determining correct exclusion periods. The interreaction with market model parameter nonstationarities is rigorously analyzed and rationalizations for empirical observations are presented.