Gronwald, Marc; Jin, Xin - 2023
This paper introduces two co-movement measures based on the Thick Pen Transform into the macroeconomic literature: the … are non-parametric, time-varying, and flexible. These methods are used to analyse the co-movement of, first, US long- and … paper also applies the recently pro-posed measure of long-run covariability. The paper finds, first, the co-movement of all …