robust-eventstudy/CITATION.cff at main · studiofarzulla/robust-eventstudy · GitHub

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cff-version: 1.2.0
message: "If you use this software, please cite it as below."
type: software
title: "robust-eventstudy: Dependence-Robust Inference for Heavy-Tailed Cross-Asset Event Studies"
version: 0.1.0
doi: "10.5281/zenodo.21316120"
date-released: 2026-07-11
authors:
  - family-names: Farzulla
    given-names: Murad
    email: murad@farzulla.org
    orcid: https://orcid.org/0009-0002-7164-8704
abstract: >-
  Inference toolkit for event studies on small panels of cross-correlated,
  heavy-tailed assets. Provides model-based CCC-GARCH-X bootstraps with
  Student-t-copula innovations (null-imposed p-values and bias-corrected
  confidence intervals), event-level block bootstraps, few-cluster tests
  (Ibragimov-Mueller), cross-sectional-correlation adjustments
  (Kolari-Pynnonen), Kish design-effect corrections with honest effective
  degrees of freedom, and minimum-detectable-effect reporting. Extracted
  from the analysis pipeline of a multi-moment cryptocurrency event study.
keywords:
  - event study
  - bootstrap inference
  - GARCH
  - GJR-GARCH
  - t-copula
  - cross-sectional correlation
  - design effect
  - clustered inference
  - econometrics
  - cryptocurrency
license: MIT
repository-code: "https://github.com/studiofarzulla/robust-eventstudy"
references:
  - type: article
    title: "Do Cryptocurrency Markets Differentiate Infrastructure from Regulatory Shocks? A Multi-Moment Event Study with Dependence-Robust Inference"
    authors:
      - family-names: Farzulla
        given-names: Murad
    year: 2026
    doi: "10.21203/rs.3.rs-8323026/v1"
  - type: software
    title: "gjr-garch-x: GJR-GARCH Models with Exogenous Variance Regressors"
    authors:
      - family-names: Farzulla
        given-names: Murad
    doi: "10.5281/zenodo.17988193"
    repository-code: "https://github.com/studiofarzulla/gjr-garch-x"
  - type: article
    title: "t-statistic based correlation and heterogeneity robust inference"
    authors:
      - family-names: Ibragimov
        given-names: Rustam
      - family-names: "Müller"
        given-names: Ulrich K.
    journal: "Journal of Business & Economic Statistics"
    volume: 28
    issue: 4
    start: 453
    end: 468
    year: 2010
  - type: article
    title: "Event study testing with cross-sectional correlation of abnormal returns"
    authors:
      - family-names: Kolari
        given-names: James W.
      - family-names: "Pynnönen"
        given-names: Seppo
    journal: "The Review of Financial Studies"
    volume: 23
    issue: 11
    start: 3996
    end: 4025
    year: 2010