Download This PaperTime Varying Price Discovery
9 Pages Posted: 11 Sep 2014 Last revised: 7 Mar 2019
Date Written: January 1, 2015
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. By focusing on credit spreads obtained from different markets, we also find that a time-varying information share can improve credit spread predictions.
Keywords: credit spreads, price discovery, multivariate GARCH
JEL Classification: G01, G14
Suggested Citation: Suggested Citation
Avino, Davide E. and Lazar, Emese and Varotto, Simone, Time Varying Price Discovery (January 1, 2015). Economics Letters, Vol. 126, pp. 18-21, 2015, Available at SSRN: https://ssrn.com/abstract=2494752 or http://dx.doi.org/10.2139/ssrn.2494752
Financial Mathematics and Computation Cluster
Dublin
Ireland
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