Detrended multiple cross-correlation coefficient with sliding windows approach

E.F. Guedes, A.M. da Silva Filho and G.F. Zebende

Physica A: Statistical Mechanics and its Applications, 2021, vol. 574, issue C

Abstract: In this paper we implemented the detrended multiple cross-correlation coefficient with sliding windows approach in order to measure multiple cross-correlation between time series as a function of time scale n, and a sliding time τ. Faced with several non-stationary time series, a fixed size window will be defined by w, and the coefficients DMCx2 are calculated for different time scales (4≤n≤w4) and time τ. Following this methodology, it was possible to set up a DMCx2 cross-correlation color map for a simulated (random) and an empirical case. This new color map with sliding windows shows the time scale and the current day for a cross-correlation analysis. In this way, it is possible to analyze the multiple cross-correlation between three or more variables in different areas of knowledge, such as economics and finance.

Keywords: Multiple cross-correlation; DMCx2 coefficient; Times series; Sliding windows (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002624

DOI: 10.1016/j.physa.2021.125990

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