Add to ORKGIn this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function
Modelling comovements amongst multiple economic variables takes up a relevant part of the literatur...
We compare factor models with respect to their ability to explain commodity futures return comovemen...
We present a method for the testing of significance when evaluating the coherence of two oscillatory...
In this paper, we test the instability of comovement, in time and frequency domain, for the GDP grow...
In this article, we suggest testing the instability of the co-movement processes in time and frequen...
This paper proposes a measure of dynamic comovement between (possibly many) time series and names it...
In financial markets, economic relations can change abruptly as the result of rapid market reactions...
Working Paper GATE 2009-18This paper proposes a new methodology to check the economic performance of...
Coherence is a widely used measure for characterizing linear dependence between two time series. Cla...
This paper examines international linkages of co-movements in output fluctuations amongst G7 economi...
This paper examines the issue of international synchronization of cycles. Using spectral methods we ...
A pattern recognition approach based on the frequency domain measure of squared coherence is a usefu...
We propose a general framework for measuring frequency dynamics of connectedness in economic variabl...
In the first essay, we propose a new Autoregressive Distributive Lag (ADL) cointegration test in the...
We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To stud...
Modelling comovements amongst multiple economic variables takes up a relevant part of the literatur...
We compare factor models with respect to their ability to explain commodity futures return comovemen...
We present a method for the testing of significance when evaluating the coherence of two oscillatory...
In this paper, we test the instability of comovement, in time and frequency domain, for the GDP grow...
In this article, we suggest testing the instability of the co-movement processes in time and frequen...
This paper proposes a measure of dynamic comovement between (possibly many) time series and names it...
In financial markets, economic relations can change abruptly as the result of rapid market reactions...
Working Paper GATE 2009-18This paper proposes a new methodology to check the economic performance of...
Coherence is a widely used measure for characterizing linear dependence between two time series. Cla...
This paper examines international linkages of co-movements in output fluctuations amongst G7 economi...
This paper examines the issue of international synchronization of cycles. Using spectral methods we ...
A pattern recognition approach based on the frequency domain measure of squared coherence is a usefu...
We propose a general framework for measuring frequency dynamics of connectedness in economic variabl...
In the first essay, we propose a new Autoregressive Distributive Lag (ADL) cointegration test in the...
We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To stud...
Modelling comovements amongst multiple economic variables takes up a relevant part of the literatur...
We compare factor models with respect to their ability to explain commodity futures return comovemen...
We present a method for the testing of significance when evaluating the coherence of two oscillatory...