Hi,

Sure. Extending this code to 3 price series may make it little complicated.
I would recommend you to use the Baillie et al approach ("Price discovery
and common factor models", 2002,  Journal of Financial Markets), which
shows how information share can be derived using just the VECM parameters.
That will be way too simpler than using the VMA representation of the VECM
in a > 2  market set up.

Nidhi

On Mon, Nov 14, 2011 at 12:41 AM, sammyny [via R] <
ml-node+s789695n4037279h89@n4.nabble.com> wrote:

> Thanks. I will test your code on my data sets. Do you have an idea how to
> extend your code to 3 price series, to find the contribution of each price
> series to price discovery.
>
> -Samit
>
> ------------------------------
>  If you reply to this email, your message will be added to the discussion
> below:
>
> http://r.789695.n4.nabble.com/Calculating-Hasbrouck-s-information-share-and-Gonzalo-Granger-weights-on-R-tp2395838p4037279.html
>  To unsubscribe from Calculating Hasbrouck's information share and
> Gonzalo-Granger weights on R, click here<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscribe_by_code&node=2395838&code=bmlkaGlAaWdpZHIuYWMuaW58MjM5NTgzOHwyMDQ4OTk2MTgy>
> .
> See how NAML generates this email<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=macro_viewer&id=instant_html%21nabble%3Aemail.naml&base=nabble.naml.namespaces.BasicNamespace-nabble.view.web.template.NabbleNamespace-nabble.view.web.template.InstantMailNamespace&breadcrumbs=instant+emails%21nabble%3Aemail.naml-instant_emails%21nabble%3Aemail.naml-send_instant_email%21nabble%3Aemail.naml>
>



-- 
cheers,
nidhi


--
View this message in context: http://r.789695.n4.nabble.com/Calculating-Hasbrouck-s-information-share-and-Gonzalo-Granger-weights-on-R-tp2395838p4037555.html
Sent from the Rmetrics mailing list archive at Nabble.com.
	[[alternative HTML version deleted]]

