A Measure of Comovement for Economic Variables: Theory and Empirics
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Cites background or result from "A Measure of Comovement for Economi..."
...This is in line with existing empirical knowledge that coupons and price promotions are prone to generating short-term cash flows (Deleersnyder et al., 2004). One drawback of band-pass filters is that they induce spurious cyclicality in the series (see, for example, Murray, 2003) although Kaiser and Regina (1999, 2001) show after extensive simulations with the Hodrick-Prescott filter that the extent of this phenomenon is likely to be small. However, in a more recent study Guay and St-Amman (2005) show that the Hodrick-Prescott and Baxter-King filters in particular provide distorted business cycles when the spectrum is dominated by low frequencies....
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...The implications of first differencing will also be evident in the crossspectrum and the spectral-based dynamic correlation of Croux et al. (2001) that also rely on the same spectral analysis principles....
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...The implications of first differencing will also be evident in the cross- spectrum and the spectral-based dynamic correlation of Croux et al. (2001) that also rely on the same spectral analysis principles....
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5 citations
Cites background from "A Measure of Comovement for Economi..."
...These factors are the representative “Coincident Indices” or “Reference Cycles” that measure the comovements of the exchange rate component of FX trading strategies, and of the global currencies (see Stock and Watson, 1989; Croux, Forni, and Reichlin, 2001)....
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...The best-performance combination in a two-factor linear model - global skew (crash) risk (GSQ) and ∆SV RN together explain approximately 70% of the variation of DFPFL. Panel B of Table A.17. reports the dynamic correlations (see Croux, Forni, and Reichlin, 2001) between DFPFL and ∆SV RN ....
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5 citations
5 citations
5 citations
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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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