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Time varying price discovery

Davide Avino Orcid Logo, Emese Lazar, Simone Varotto

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

Swansea University Author: Davide Avino Orcid Logo

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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first_indexed 2015-05-20T02:03:32Z
last_indexed 2019-07-14T20:22:10Z
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spelling 2019-07-14T15:25:43.4227080 v2 21591 2015-05-19 Time varying price discovery 3d6ddd8aed8a2b08573445a9d2ec2469 0000-0002-5314-2067 Davide Avino Davide Avino true false 2015-05-19 BAF 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. Journal Article Economics Letters 126 18 21 31 12 2015 2015-12-31 10.1016/j.econlet.2014.09.030 "Available online 5 Oct 2014" COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2019-07-14T15:25:43.4227080 2015-05-19T21:07:14.6114988 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Davide Avino 0000-0002-5314-2067 1 Emese Lazar 2 Simone Varotto 3 0021591-18122015101640.pdf AvinoTimeVaryingPriceDiscoveryPostprint.pdf 2015-12-18T10:16:40.4100000 Output 551726 application/pdf Accepted Manuscript true 2016-04-05T00:00:00.0000000 true
title Time varying price discovery
spellingShingle Time varying price discovery
Davide Avino
title_short Time varying price discovery
title_full Time varying price discovery
title_fullStr Time varying price discovery
title_full_unstemmed Time varying price discovery
title_sort Time varying price discovery
author_id_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469
author_id_fullname_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469_***_Davide Avino
author Davide Avino
author2 Davide Avino
Emese Lazar
Simone Varotto
format Journal article
container_title Economics Letters
container_volume 126
container_start_page 18
publishDate 2015
institution Swansea University
doi_str_mv 10.1016/j.econlet.2014.09.030
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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_date 2015-12-31T03:25:38Z
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score 11.036116

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