Time Varying Price Discovery

9 Pages Posted: 11 Sep 2014 Last revised: 7 Mar 2019

See all articles by Davide E. Avino

Davide E. Avino

University of Liverpool; Financial Mathematics and Computation Cluster

Emese Lazar

University of Reading - ICMA Centre

Simone Varotto

ICMA Centre - Henley Business School, University of Reading

Date Written: January 1, 2015

Abstract

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.

Keywords: credit spreads, price discovery, multivariate GARCH

JEL Classification: G01, G14

Suggested Citation

Avino, Davide E. and Lazar, Emese and Varotto, Simone, Time Varying Price Discovery (January 1, 2015). Economics Letters, Vol. 126, pp. 18-21, 2015. Available at SSRN: https://ssrn.com/abstract=2494752 or http://dx.doi.org/10.2139/ssrn.2494752

Davide E. Avino (Contact Author)

University of Liverpool ( email )

Chatham Street
Liverpool, L69 7ZA
United Kingdom

Financial Mathematics and Computation Cluster

Dublin
Ireland

Emese Lazar

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
+44 (0)1183 786675 (Phone)
+44 (0)1189 314741 (Fax)

Simone Varotto

ICMA Centre - Henley Business School, University of Reading ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

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