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Time varying price discovery
Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics Letters 126 (2015) C, pp. 18-21
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.
Persistent link: https://www.econbiz.de/10011189549
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Forecasting exchange rate volatility using conditional variance models selected by information criteria
Brooks, Chris; Burke, Simon P. - In: Economics Letters 61 (1998) 3, pp. 273-278
Persistent link: https://www.econbiz.de/10005296442
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Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
Brooks, Chris; Henry, Olan T. - In: Economics Letters 67 (2000) 3, pp. 245-251
Persistent link: https://www.econbiz.de/10005307328