Measuring correlations between non-stationary series with DCCA coefficient

Ladislav Krištoufek ()

Papers from arXiv.org

Abstract: In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter $d$). For a comparison, we also report the results for the standard Pearson's correlation coefficient. The DCCA coefficient dominates the Pearson's coefficient for non-stationary series.

Date: 2013-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Physica A: Statistical Mechanics and Its Applications 402, pp. 291-298, 2014

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Journal Article: Measuring correlations between non-stationary series with DCCA coefficient (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1310.3984

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