Time varying price discovery

Davide Avino, Emese Lazar and Simone Varotto ()

Economics Letters, 2015, vol. 126, issue C, 18-21

Abstract: 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.

Keywords: Credit spreads; Price discovery; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:126:y:2015:i:c:p:18-21

DOI: 10.1016/j.econlet.2014.09.030

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