Time varying price discovery

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 126
Issue: C
Pages: 18-21

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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. We find that time-varying information shares can improve credit spread predictions.

Technical Details

RePEc Handle
repec:eee:ecolet:v:126:y:2015:i:c:p:18-21
Journal Field
General
Author Count
3
Added to Database
2026-01-24