Time Varying Price Discovery

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

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Year of publication:	2019
Authors:	Avino, Davide E.
Other Persons:	Lazar, Emese (contributor) ; Varotto, Simone (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price \| Kointegration \| Cointegration \| Zeit \| Time

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 126, pp. 18-21, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2015 erstellt
Other identifiers:	10.2139/ssrn.2494752 [DOI]
Classification:	G01 - Financial Crises ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904721