Avino, Davide; Lazar, Emese; Varotto, Simone - Volkswirtschaftliche Fakultät, … - 2012
the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity …-2009 financial crisis, we find that during periods of high volatility, price discovery takes place primarily in the option market …. Finally, we show how time-varying measures of price discovery can be generated using GARCH models. …