Statistical test for ΔρDCCA cross-correlation coefficient
F.M. Oliveira Filho,
A.P.N. de Castro,
A.M. da Silva Filho and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 501, issue C, 134-140
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:501:y:2018:i:c:p:134-140
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