DCCA cross-correlation coefficient: Quantifying level of cross-correlation

G.F. Zebende

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 4, 614-618

Abstract: In this paper, a new coefficient is proposed with the objective of quantifying the level of cross-correlation between nonstationary time series. This cross-correlation coefficient is defined in terms of the DFA method and the DCCA method. The implementation of this cross-correlation coefficient will be illustrated with selected time series.

Keywords: Time series; Cross-correlation; DCCA method; DFA method (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (208)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:4:p:614-618

DOI: 10.1016/j.physa.2010.10.022

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