Computing white stylized facts on comovement.

DOI10.1016/S0165-1765(02)00023-XzbMath1100.91570OpenAlexW1974921188MaRDI QIDQ1603862

Francisco J. André, Javier J. Pérez, Ricardo Martin

Publication date: 15 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00023-x

zbMATH Keywords

ComovementCross correlation functionPrewhiteningStylized facts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
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