[R-SIG-Finance] Calculating Hasbrouck's information share and Gonzalo-Granger weights on R

[nidhiaggrawal]

Hi Samit,

Yes, the difference between the bounds was appearing because of the
significant
contemporaneous correlation in the residuals occurring due to time
aggregation for
the stocks that have high trading activity on both -- the spot as well as
the futures
market. The problem has been discussed in the literature (Hasbrouck (1995),
Huang (2002), Yan and Zivot (2010)).

I dealt with this problem by improving the frequency of my data-set to one
second.
By doing that, the gap between the lower and the upper bound did come down
significantly.

Nidhi

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