کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964993 | 930674 | 2010 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Measuring comovement in the time-frequency space
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The measurement of comovement among variables has a long tradition in the economic and financial literature. Traditionally, comovement 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 et al. [Review of Economics and Statistics 83 (2001)] have proposed a measure of comovement in the frequency domain. While it allows to quantify the comovement at the frequency level, such a measure disregards the fact that the strength of the comovement may vary over time. Herein, it is proposed a new measure of comovement resorting to wavelet analysis. This wavelet-based measure allows one to assess simultaneously the comovement at the frequency level and over time. In this way, it is possible to capture the time and frequency varying features of comovement within a unified framework which constitutes a refinement to previous approaches.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 32, Issue 2, June 2010, Pages 685-691
Journal: Journal of Macroeconomics - Volume 32, Issue 2, June 2010, Pages 685-691
نویسندگان
António Rua,