A Measure of Comovement for Economic Variables: Theory and Empirics
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Cites methods from "A Measure of Comovement for Economi..."
...The first method is the simple correlation method, based either on classical correlation, which estimates a static correlation between time series, or dynamic correlation (Croux et al 2001), which takes into consideration the frequency of the business cycles....
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3 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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