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Measuring macroeconomic and financial market interdependence: a critical survey
16 references·1 citing·48 second hop
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References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 2002On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations2,044 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,986 cited
  • 1947Measuring Business Cycles1,531 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1996Contagious Currency Crises959 cited
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  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*681 cited
  • 2008GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?*587 cited
  • 2005Understanding the Evolution of World Business Cycles541 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 1988The dynamic effects of aggregate demand and supply disturbance

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472 cited
  • 1998Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa209 cited
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    • 2013Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound16 cited