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Time varying price discovery

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Avino, D., Lazar, E. and Varotto, S. (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765

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To link to this item DOI: 10.1016/j.econlet.2014.09.030

Abstract/Summary

We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:40373
Uncontrolled Keywords:Credit spreads; Price discovery; Multivariate GARCH
Publisher:Elsevier
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