MATLAB Comovement Programs
The set of programs on this website present two methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The first method calculates the correlations of VAR forecast errors for two time-series at various forecast horizons. The second method calculates correlations of two filtered time-series at different frequencies using high-pass filters from the frequency domain (proposed by Baxter and King (1994)).
|Date of creation:||Sep 2000|
|Date of revision:|
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