Multiscale Fluctuation Features of the Dynamic Correlation between Bivariate Time Series

Meihui Jiang, Xiangyun Gao, Haizhong An, Xiaoliang Jia and Xiaoqi Sun

Mathematical Problems in Engineering, 2016, vol. 2016, 1-9

Abstract:

The fluctuation of the dynamic correlation between bivariate time series has some special features on the time-frequency domain. In order to study these fluctuation features, this paper built the dynamic correlation network models using two kinds of time series as sample data. After studying the dynamic correlation networks at different time-scales, we found that the correlation between time series is a dynamic process. The correlation is strong and stable in the long term, but it is weak and unstable in the short and medium term. There are key correlation modes which can effectively indicate the trend of the correlation. The transmission characteristics of correlation modes show that it is easier to judge the trend of the fluctuation of the correlation between time series from the short term to long term. The evolution of media capability of the correlation modes shows that the transmission media in the long term have higher value to predict the trend of correlation. This work does not only propose a new perspective to analyze the correlation between time series but also provide important information for investors and decision makers.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:4742060

DOI: 10.1155/2016/4742060

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