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The measurement of co-movement among variables has a long tradition in the economic and financial literature. Traditionally, co-movement is assessed in the time domain through the well-known correlation coefficient while the evolving properties are investigated either through a rolling window or by considering non-overlapping periods. More recently, Croux, Forni and Reichlin [Review of Economics and Statistics 83 (2001)] have proposed a measure of co-movement in the frequency domain. While it allows to quantify the co-movement at the frequency level, such a measure disregards the fact that the strength of the co-movement may vary over time.
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