0433533 - ÚTIA 2015 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Measuring correlations between non-stationary series with DCCA coefficient.
Physica. A : Statistical Mechanics and its Applications. Roč. 402, č. 1 (2014), s. 291-298. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Grant - others:GA ČR(CZ) GAP402/11/0948
Program: GA
Institutional support: RVO:67985556
Keywords : power-law cross-correlations * long-term memory * econophysics
Subject RIV: AH - Economics
Impact factor: 1.732, year: 2014 ; AIS: 0.449, rok: 2014
Result website:
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433533.pdf

DOI: https://doi.org/10.1016/j.physa.2014.01.058

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 correlation coefficient. The DCCA coefficient dominates the Pearson coefficient for non- stationary series.
Permanent Link: http://hdl.handle.net/11104/0237764