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Time varying price discovery

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Avino, D., Lazar, E. orcid id iconORCID: https://orcid.org/0000-0002-8761-0754 and Varotto, S. orcid id iconORCID: https://orcid.org/0000-0001-5328-5327 (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765 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.

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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/40373
Identification Number/DOI 10.1016/j.econlet.2014.09.030
Refereed Yes
Divisions Henley Business School > Finance and Accounting
Uncontrolled Keywords Credit spreads; Price discovery; Multivariate GARCH
Publisher Elsevier
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