A Measure of Comovement for Economic Variables: Theory and Empirics
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Summary
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Citations
Cites methods from "A Measure of Comovement for Economi..."
...In addition to presenting simple plots of inflation, we use the dynamic correlation measure of Croux, Forni, and Reichlin (2001) to measure the correlation between time series in the frequency domain....
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Cites background from "A Measure of Comovement for Economi..."
...The comovement and dependencies between the economic time series analyzed in the frequency domain can be found in the pioneering paper of Croux et al. (2001) who propose the cohesion, as a measure in the frequency domain of dynamic comovement between several time series....
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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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