HASBROUCK: RATS program to demonstrate decomposition of long-run variance as in Hasbrouck(1995)

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of the calculation of decomposition of long-run variance using the techniques from Hasbrouck(1995) "One security, many markets: determining the contribution to price discovery", Journal of Finance, vol 50, no 4, pp 1175-1199.

Language: RATS
Requires: RATS 9.00
Keywords: Cointegration (search for similar items in EconPapers)
Date: 2025-12-29
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https://estima.com/procedures/hasbrouck.rpf (text/plain)

Related works:
Journal Article: One Security, Many Markets: Determining the Contributions to Price Discovery (1995)
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