Hasbrouck's information share
Posted: November 7th, 2011, 10:42 pm
Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in page 12-13 of http://www.jamesgoulding.com/Research_II/S&P's/S&P%20(Price%20Dynamics%20in%20E-minis%20revised.pdf.I have the vector error correction model (VECM) set up for the price series. But I am unable to understand how to derive the vector moving average from the VECM. Does anyone have an understanding on this, on how to compute the coefficients of VMA?thanks,Sam