Similar Search Results

Cross-correlation between time series of vehicles and passengers

Zebende, G.F.; Filho, A. Machado - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 23, pp. 4863-4866

detrended cross-correlation analysis (DCCA) method. The DCCA method is designed to investigate power-law cross correlations …

Persistent link: https://www.econbiz.de/10010874226

Forecasting VaR and ES of stock index portfolio: A Vine copula method

Zhang, Bangzheng; Wei, Yu; Yu, Jiang; Lai, Xiaodong; … - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 112-124

Risk measurement has both theoretical and practical significance in risk management. Using daily sample of 10 international stock indices, firstly this paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Secondly, the Value-at-Risk...

Persistent link: https://www.econbiz.de/10010939947

A new correlation coefficient for bivariate time-series data

Erdem, Orhan; Ceyhan, Elvan; Varli, Yusuf - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 274-284

new correlation coefficient with Pearson’s correlation coefficient and Detrended Cross-Correlation Analysis (DCCA) via …

Persistent link: https://www.econbiz.de/10010931520

Study of cross-correlation in a self-affine time series of taxi accidents

Zebende, G.F.; da Silva, P.A.; Machado Filho, A. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 9, pp. 1677-1683

in cases of taxi accidents. For this purpose, we apply the DCCA method and show that the cross-correlation can be divided …

Persistent link: https://www.econbiz.de/10010589944

Autocorrelation and cross-correlation in time series of homicide and attempted homicide

Machado Filho, A.; da Silva, M.F.; Zebende, G.F. - In: Physica A: Statistical Mechanics and its Applications 400 (2014) C, pp. 12-19

-Correlation Analysis (DCCA), and DCCA cross-correlation coefficient, ρDCCA(n). Through this analysis we can identify a positive cross …

Persistent link: https://www.econbiz.de/10011062271