Detail publikace

Kristoufek, L.: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2014
Číslo: 0
ISSN / ISBN:
Publikováno v: Physica A: Statistical Mechanics and Its Applications 406, pp. 169-175 PDF arXiv
Místo vydání:
Klíčová slova:
JEL kódy:
Citace:
Granty: GAČR 14-11402P Analýza dvoudimenzionální dlouhé paměti ve finančních časových řadách (2014-2016)
Abstrakt: In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ρDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between -1 and 1 as a standard correlation does. In the simulation study, we show that the values of ρDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters -- correlation level, moving average window length and time series length -- is discussed as well.
Prosinec 2020
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