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?
