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On non-contemporaneous short-run co-movements · Study

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ArticleOn non-contemporaneous short-run co-movements

Gianluca Cubadda2001

Article2001

On non-contemporaneous short-run co-movements

Gianluca Cubadda · Alain Hecq

50 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1990Testing For Common Features 1993COMMON TRENDS AND COMMON CYCLES 1993Testing for Common Features 1999The Influence of VAR Dimensions on Estimator Biases 2000Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles 1999Common cycles in seasonal non-stationary time series

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2005Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion 2005The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test 2008Studying co-movements in large multivariate data prior to multivariate modelling 2007A unifying framework for analysing common cyclical features in cointegrated time series 2006Common shocks, common dynamics, and the international business cycle

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2002Separation, Weak Exogeneity and P-T Decompositions in Cointegrated VAR Systems with Common Featuresarticle · 7 shared references 2005Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagionarticle · 6 shared references 2006Common shocks, common dynamics, and the international business cyclearticle · 6 shared references 2006Common trends and common cycles in Canada: who knew so much has been going on?article · 6 shared references 2002SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURESarticle · 6 shared references 2005Common cyclical features analysis in VAR models with cointegrationarticle · 5 shared references

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Year2001

Typearticle

Published2001-12-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations50

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0165-1765(01)00514-6

openalex_workW2033636631

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2007Codependence in cointegrated autoregressive models

2010A characterization of vector autoregressive processes with common cyclical features

2022Dimension Reduction for High‐Dimensional Vector Autoregressive Models*