DCCA cross-correlation coefficient: Quantifying level of cross-correlation

In this paper, a new coefficient is proposed with the objective of quantifying the level of cross-correlation between nonstationary time series. This cross-correlation coefficient is defined in terms of the DFA method and the DCCA method. The implementation of this cross-correlation coefficient will be illustrated with selected time series.

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Year of publication:	2011
Authors:	Zebende, G.F.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 390.2011, 4, p. 614-618
Publisher:	Elsevier
Subject:	Time series \| Cross-correlation \| DCCA method \| DFA method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010874764