Bibliography
Journal Article
Measuring correlations between non-stationary series with DCCA coefficient
: Physica. A : Statistical Mechanics and its Applications vol.402, 1 (2014), p. 291-298
: GAP402/11/0948, GA ČR, GP14-11402P, GA ČR
: power-law cross-correlations, long-term memory, econophysics
: http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433533.pdf
(eng): 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 correlation coefficient. The DCCA coefficient dominates the Pearson coefficient for non- stationary series.
: AH