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I have a multivariate time of series of monthly capital flows, the data is stationary and after plotting the all series together in one graph, the oscillatory was very clear in trends of the variables. Therefore, I want to estimate the moment-to-moment synchronization in the time series, then plot the outcomes to show the historical synchrony of the variables. I've used the rolling correlations between the variables in pairs, but I'm looking for a similar approach that can be applied to bivariate and multivariate time series.

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