Price Discovery

[upani]

Hi All,

I want to estimate price discovery between spot and futures markets by using Gonzalo and Granger (1995) Permanent-Transitory decomposition method. This method is used in the paper " Modelling and measuring price discovery in commodity markets" by Isabel Figuerola-Ferretti and Jesús Gonzalo, Journal of Econometrics 158(2010) 95-107.

If any code exist in RATS for estimating price discovery between spot and futures markets, please share this.

Any help in this regard will be of great help.

With sincere regards,
Upananda

[TomDoan]

It appears that that is just applying several fairly well-known techniques (Hasbrouck information shares, Gonzalo-Granger and cointegration rank and structure tests) to a specific set of data. Have you tried adapting the existing programs?

[upani]

Dear Sir,

I do not how to integrate all the the above procedures you have mentioned. But i have the Gauss code for the above paper, if you want to have a look at the code i will share it.

i want to estimate the paper in RATS.

With regards,
Upananda

[IRJ]

For the Hasbrouck information shares approach see:
http://www.estima.com/forum/viewtopic.p ... ouck#p7626
I haven't read the Gonzalo-Granger paper but my understanding is that it can be done by estimating a cointegrated VAR (VECM). If so, that's easily doable in RATS (see the User Guide for that).