Information Share Range

This function computes the Information Share minimum and maximum for a given multivariate time series.

This function computes the Information Share for a given multivariate time series, a measure originally introduced by Joel Hasbrouck in 1995. Additionally, it generates other outputs, such as the Impulse Response Function, to assess the relative importance of the input data variables. Optionally, the input time series can be compressed, to address memory and computation time constraints by removing portions where price changes occur very sparsely, a common feature of some high-frequency financial time series. The optimal order for the VEC model is chosen according to the Bayesian Information Criterion, and forecasts are generated based on that model if requested. This work is part of an ongoing study of the available literature on evaluating the relative importance of different securities and markets in the price discovery process. Comments are welcome.