Publication detail

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

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 406, pp. 169-175 PDF arXiv
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Grants: GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016)
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.
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