| 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. |
