| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
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| Type: |
Articles in journals with impact factor |
| Year: |
2014 |
| Number: |
0 |
| ISSN / ISBN: |
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| Published in: |
Physica A: Statistical Mechanics and Its Applications 402, pp. 291-298 PDF arXiv |
| Publishing place: |
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| Keywords: |
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| JEL codes: |
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| Suggested Citation: |
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| Grants: |
GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016)
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| Abstract: |
In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter d). For a comparison, we also report the results for the standard Pearson's correlation coefficient. The DCCA coefficient dominates the Pearson's coefficient for non-stationary series. |
