A General Comovement Measure for Time Series

Agnieszka Jach ()
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Agnieszka Jach: Hanken School of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 279-284 from Springer

Abstract: Abstract We propose a nonparametric, time-dependent, cross-scale/cross-frequency dependence measure for multivariate stationary and non-stationary time series termed multi-thickness thick pen measure of association, MTTPMA. The building blocks of the measure are the Thick Pen Transform and the Thick Pen Measure of Association. The new measure is simple and visually interpretable. We demonstrate its potential application on synthetic financial contagion data.

Keywords: Cross-scale; Multiscale; Multivariate; Nonparametric; Time-varying (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_41

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DOI: 10.1007/978-3-030-78965-7_41

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