Message-ID: <1320790767748-4017779.post@n4.nabble.com>
Date: 2011-11-08T22:19:27Z
From: sammyny
Subject: Calculating Hasbrouck's information share and Gonzalo-Granger weights on R
In-Reply-To: <AANLkTinWNEvAVUjk8TYVd_28mEUS_dKnezCPtX64v4Lo@mail.gmail.com>
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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