Pérez, Javier J.; André, Francisco J. - Centro de Estudios Andaluces, Government of Andalusia - 2003
In this article we further develop the suggestion of obtaining stylized facts on comovement on the basis of prewhitened time series proposed in André, Pérez and Martín (2002). Firstly, we show some examples on the robustness of the method. Secondly, we test the relevance of such a proposal by...