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Calculating Hasbrouck's information share and Gonzalo-Granger weights on R

sammyny 
Hi Nidhi,
I was wondering if you were able to make any progress on this as to why you
are seeing big differences in the upper and lower bounds? At first glance,
it seems this is due to high degree of correlation between spot and future
rates.

Please share your findings.

thanks,
Samit

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Thread (5 messages)

sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 8 nidhiaggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13 sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13 Nidhi Aggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13 sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 14