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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?

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  • $\begingroup$ You can find an R-implementation of the Hasbrouck information at: mayin.org/ajayshah/tmp/infoshare.R $\endgroup$
    – user1157
    Commented Jan 13, 2014 at 13:37
  • $\begingroup$ I'm also trying to calculate Habrouck IS. If you still have this scrypt, could send me it somehow? I would be really thankful for this. $\endgroup$ Commented Mar 11, 2018 at 12:44

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