| 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 406, pp. 169-175 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 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. |
