Darracq Pariès, Matthieu (contributor); … - 2008
include surveys on export order books, on order
books, and on production expectations. For both external trade and business …
co-movement between two sets of information, at each frequency.
coh
xy
(ω)=
summationtext
i
summationtext
j
α
i
α
j
ρ
x
i …’Agostino and Giannone (2006). Con-
sider a dataset that consists of n demeaned and standardized time series, X
t
= (x
1t
,...,x
nt …