Measuring comovement in the time–frequency space

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 co...

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Bibliographic details
Volume: 32
Main Author: Rua, António
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier Inc 2010
ELSEVIER
Elsevier
Elsevier B.V
published in: Journal of macroeconomics Vol. 32; no. 2; pp. 685 - 691
ORCID: 0000-0003-2494-9758
Data of publication: 2010
ISSN: 0164-0704
1873-152X
EISSN: 1873-152X
Discipline: Economics
Series: Journal of Macroeconomics
Subjects:
E32
C40
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Knowledge
Web of Science - Social Sciences Citation Index - 2010
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