Measuring correlations between non-stationary series with DCCA coefficient

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2014, vol. 402, issue C, 291-298

Abstract: 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.

Keywords: Power-law cross-correlations; Long-term memory; Econophysics (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (17)

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Related works:
Working Paper: Measuring correlations between non-stationary series with DCCA coefficient (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:402:y:2014:i:c:p:291-298

DOI: 10.1016/j.physa.2014.01.058

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