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On non-contemporaneous short-run co-movements

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2016Common cycles and common trends in the stock and oil markets: Evidence from more than 150 years of data52 cited
2005Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion49 cited
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2006Common shocks, common dynamics, and the international business cycle

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31 cited

2007Codependence in cointegrated autoregressive models22 cited

2010A characterization of vector autoregressive processes with common cyclical features19 cited

2006Common Features in Economics and Finance17 cited

2022Dimension Reduction for High‐Dimensional Vector Autoregressive Models*15 cited

2013Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data14 cited

2005Common trends and cycles in I(2) VAR systems14 cited

2002Common Cycles and Common Trends in Latin America11 cited