Footnote:
In: Economics Letters, Vol. 126, pp. 18-21, 2015
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2015 erstellt
Description:
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