I have a specific but interesting problem at hand:
I know that the price of a stock falls after a negative shock (in t-1). Now it is the day after the shock (t) and I want to know whether the price will likely rebound to its former level or stay at the lower level in the next x periods (t+1...t+x).
This event has happened in several different companies at several times in the past -> These are my Inputs (the event date is known).
This is not a problem of estimating the impact of the shock itself, it is about the effect after the impact on the price.
Alternatively this may be thought of as a problem of estimating the persistance/absorption of the time series or as the lasting effect of a shock or even as the an estimation of the parameters of a mean-reverting process.
Thoughts on what kind/class/category of problem I have here would be much appreciated. Because I really would like to be able to at least articulate my problem