Wavelet correlation coefficient of ‘strongly correlated’ time series

Ashok Razdan

Physica A: Statistical Mechanics and its Applications, 2004, vol. 333, issue C, 335-342

Abstract: In this paper, wavelet concepts are used to study two ‘strongly correlated’ financial time series. Apart from obtaining wavelet spectra, we also calculate the wavelet correlation coefficient and show that strong correlation or strong anti-correlation depends on scale.

Keywords: Wavelet; Correlation; Scale; Stocks (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:333:y:2004:i:c:p:335-342

DOI: 10.1016/j.physa.2003.10.042

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