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Time varying price discovery

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2013 United Kingdom English Publisher:Elsevier BVJournal:Economics Letters, volume 126, pages 18-21 (issn: 0165-1765, Copyright policy )
Authors: Avino, Davide; Lazar, Emese; Varotto, Simone;

doi: 10.1016/j.econlet.2014.09.030 , 10.2139/ssrn.2494752

Time varying price discovery

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.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
20
Top 10%
Top 10%
Average
Green
bronze
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