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Statistical test for ΔρDCCA cross-correlation coefficient

E.F. Guedes, A.A. Brito, F.M. Oliveira Filho, B.F. Fernandez, A.P.N. de Castro, A.M. da Silva Filho and G.F. Zebende

Physica A: Statistical Mechanics and its Applications, 2018, vol. 501, issue C, 134-140

Abstract: In this paper we propose a new statistical test for ΔρDCCA, Detrended Cross-Correlation Coefficient Difference, a tool to measure contagion/interdependence effect in time series of size N at different time scale n. For this proposition we analyzed simulated and real time series. The results showed that the statistical significance of ΔρDCCA depends on the size N and the time scale n, and we can define a critical value for this dependency in 90%, 95%, and 99% of confidence level, as will be shown in this paper.

Keywords: Time series; DCCA cross-correlation coefficient; Statistical test (search for similar items in EconPapers)
Date: 2018
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