A Measure of Comovement for Economic Variables: Theory and Empirics
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Summary
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39 citations
Cites background from "A Measure of Comovement for Economi..."
...…finance literature, the consensus that arise from the study of comovements (Panton et al., 1976; Stockman and Tesar, 1995; Karolyi and Stulz, 1996; Croux et al., 2001; Forbes and Rigobon, 2002; Barberis et al., 2005; Baxter and Kouparitsas, 2005), common jumps (Barndorff-Nielsen and Shepard,…...
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39 citations
38 citations
Cites background or methods from "A Measure of Comovement for Economi..."
...According to Croux et al. (2001), this measure is based on the bivariate case....
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...We apply this theory to the measure of cohesion presented by Croux et al. (2001) to obtain a dynamic time-varying measure....
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...Indeed, we replace the dynamic correlation defined by Croux et al. (2001), which is independent of time in the above function, with our measure of coherency presented in the above section....
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...We adopt the same function of cohesion as defined by Croux et al. (2001) but with some difference....
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...The cohesion function, as presented by Croux et al. (2001), equals the weighted average of the dynamic correlation between all possible pairs of series....
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38 citations
Cites background from "A Measure of Comovement for Economi..."
...…two time series [say, and ] in the time-frequency space [ and ] is given as: (19) In line with equations 13 and 14 presented below and in following Croux et al. (2001), the cross-wavelet spectrum can be decomposed into real and imaginary components defined as: , (20) where measures the…...
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38 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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