Measuring comovement in the time-frequency space
Journal of Macroeconomics, 2010, vol. 32, issue 2, pages 685-691
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.
Keywords: Comovement; Wavelets; Time-frequency; Growth; cycles (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (33) Track citations by RSS feed
Downloads: (external link)
http://www.sciencedirect.com/science/article/B6X4M ... c99ec45dc9889aa6480f
Full text for ScienceDirect subscribers only
Working Paper: Measuring comovement in the time-frequency space (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:eee:jmacro:v:32:y:2010:i:2:p:685-691
Access Statistics for this article
Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos
More articles in Journal of Macroeconomics from Elsevier
Series data maintained by Zhang, Lei ().