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Journal article 459 views 293 downloads

Time varying price discovery / Davide Avino, Emese Lazar, Simone Varotto

Economics Letters, Volume: 126, Pages: 18 - 21

Swansea University Author: Davide Avino

DOI (Published version): 10.1016/j.econlet.2014.09.030

Abstract

We show how time-varying measures of price discovery can be generated using GARCH models. In an application to credit spreads obtained from related securities, we show that time-varying price discovery measures improve the forecastability of spreads.

Published in: Economics Letters
Published: 2015
URI: https://cronfa.swan.ac.uk/Record/cronfa21591
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Abstract: We show how time-varying measures of price discovery can be generated using GARCH models. In an application to credit spreads obtained from related securities, we show that time-varying price discovery measures improve the forecastability of spreads.
Item Description: "Available online 5 Oct 2014"
College: School of Management
Start Page: 18
End Page: 21