Croux, Christophe; Forni, Mario; Reichlin, Lucrezia - In: The Review of Economics and Statistics 83 (2001) 2, pp. 232-241
This paper proposes a measure of dynamic comovement between (possibly many) time series and names it cohesion. The measure is defined in the frequency domain and is appropriate for processes that are costationary, possibly after suitable transformations. In the bivariate case, the measure...
