A Measure of Comovement for Economic Variables: Theory and Empirics
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Summary
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63 citations
Cites background from "A Measure of Comovement for Economi..."
... appear in all or most of the indices are the most striking visually. In the economics and finance literature, a mean or volatility mo vement that occurs over multiple time series is called comovement [92, 93, 94, 95, 96, 97, 98], common jumps [99, 100, 101], common shocks [102, 103, 104], or common breaks [105, 106, 107, 108, 109, 110]. The consensus that arise from this body of work is that the statistical significance of a ...
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59 citations
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Cites background or methods from "A Measure of Comovement for Economi..."
...In a similar fashion to Croux et al. (2001), Rua and Silva Lopes (2012) suggest to do the same with the measure proposed by Rua (2010) in order to obtain a measure of cohesion in the wavelet domain....
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...However, while the Pearson correlation coefficient disregards completely the relationship at the frequency level, the measure proposed by Croux et al. (2001) loses all the information regarding the time dependence of synchronization....
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...In order to take on boardmore than two series when assessing synchronization, Croux et al. (2001) sug-...
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...…order to take on boardmore than two series when assessing synchronization, Croux et al. (2001) suggested using a weighted average of the spectral-based measure between all possible pairs of series within a group of…...
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...In a similar fashion to Croux et al. (2001), Rua and Silva Lopes (2012) suggest extending the bivariate measure proposed by Rua (2010) to the more general case in order to obtain a measure of cohesion in the wavelet domain....
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55 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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