Sign up ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in

page 12-13 of this article.

page 7-8 of this article

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?

share|improve this question

migrated from Nov 8 '11 at 8:01

This question came from our site for people interested in statistics, machine learning, data analysis, data mining, and data visualization.

You can find an R-implementation of the Hasbrouck information at: – user1157 Jan 13 '14 at 13:37

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.