Time varying price discovery
| Data(s) |
01/01/2015
|
|---|---|
| Resumo |
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. |
| Formato |
text |
| Identificador |
http://centaur.reading.ac.uk/40373/1/Paper%201_split_DA%20-%20Economics%20Letters.pdf Avino, D. <http://centaur.reading.ac.uk/view/creators/90005039.html>, Lazar, E. <http://centaur.reading.ac.uk/view/creators/90001780.html> and Varotto, S. <http://centaur.reading.ac.uk/view/creators/90001687.html> (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765 doi: 10.1016/j.econlet.2014.09.030 <http://dx.doi.org/10.1016/j.econlet.2014.09.030> |
| Idioma(s) |
en |
| Publicador |
Elsevier |
| Relação |
http://centaur.reading.ac.uk/40373/ creatorInternal Avino, Davide creatorInternal Lazar, Emese creatorInternal Varotto, Simone 10.1016/j.econlet.2014.09.030 |
| Tipo |
Article PeerReviewed |
