Journal article 855 views 404 downloads
Time varying price discovery
Davide Avino 
,
Emese Lazar,
Simone Varotto
,
Emese Lazar,
Simone Varotto
Economics Letters, Volume: 126, Pages: 18 - 21
Swansea University Author:
Davide Avino
-
PDF | Accepted Manuscript
Download (493.97KB)
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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| 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: |
Faculty of Humanities and Social Sciences |
| Start Page: |
18 |
| End Page: |
21 |