A Measure of Comovement for Economic Variables: Theory and Empirics
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Summary
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42 citations
Cites background from "A Measure of Comovement for Economi..."
...These works fall into thegeneral category ofcomovements, neatly summarized by Croux et al. (2001) who also summarize the key works at that time, Engle and Granger, the codependence of Gourieroux and Peaucelle (1992) and the common features of Engle and Kozicki (1993)....
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42 citations
41 citations
Cites methods from "A Measure of Comovement for Economi..."
...We innovate in our application of dynamic correlations to these questions, building on work done by Croux et al. (2001)....
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...The robustness of the analysis is supported by estimating the dynamic correlations between the variables (Croux et al., 2001)16....
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41 citations
40 citations
References
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"A Measure of Comovement for Economi..." refers background in this paper
...In this category belong the following three concepts: (i) the idea of co-integration (Engle & Granger, 1987): two processes are co-integrated if the spectral density at frequency zero has rank one; (ii) codependence (Gourieroux & Peaucelle, 1992), which refers to linear combinations of correlated…...
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