This paper shows how standard methods can be used to formulate and estimate a dynamic index model for random fields - stochastic processes indexed by time and cross section where the time-series and cross section dimensions are comparable in magnitude. We use these study dynamic co-movements of...

This paper shows how standard methods can be used to formulate and estimate a dynamic index model for random fields—stochastic processes indexed by time and cross section where the time-series and cross-section dimensions are comparable in magnitude. We use these to study dynamic comovements...