Publication detail

Kristoufek, L.: Measuring correlations between non-stationary series with DCCA coefficient

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2014
Number: 0
ISSN / ISBN:
Published in: Physica A: Statistical Mechanics and Its Applications 402, pp. 291-298 PDF arXiv
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Grants: GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016)
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.
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