On the Phase Dependence in Time-Varying Correlations Between Time-Series

Download or read book On the Phase Dependence in Time-Varying Correlations Between Time-Series written by Francisco Blasques and published by . This book was released on 2013 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes the use of a double correlation coefficient as a nonparametric measure of phase-dependence in time-varying correlations. An asymptotically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample distributions, power and size are analyzed in a Monte-Carlo exercise. An application of this test provides evidence that correlation strength between major macroeconomic aggregates is both time-varying and phase dependent in the business cycle.