DCCA cross-correlation coefficient with sliding windows approach

E.F. Guedes and G.F. Zebende

Physica A: Statistical Mechanics and its Applications, 2019, vol. 527, issue C

Abstract: We have implemented in this paper the DCCA cross-correlation coefficient, ρDCCA, with sliding windows approach to measure cross-correlation as a function of time. Thereby, from two non-stationary time series a fixed size window will be defined by w, and the coefficients ρDCCA calculated for different time scales (4≤n≤w4). Following this procedure it was possible to set up a cross-correlation color map of ρDCCA, which was tested in this paper for a simulated (random) and an empirical (econometric) case. This new color map with sliding windows shows the time scale and the current time for a cross-correlation analysis. In this way, it is possible to analyze the complete cross-correlation between two variables in different areas of knowledge, such as economics, our case of study.

Keywords: DCCA cross-correlation coefficient; Times series; Sliding windows (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:527:y:2019:i:c:s037843711930754x

DOI: 10.1016/j.physa.2019.121286

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