0433529 20240103204842.720141023235959.9 84897552579 000337854500019 10.1016/j.physa.2014.03.015 7 s. P cav_un_epca*02574230378-43714061 (2014)169-175Elsevier correlations econophysics non-stationarity cav_un_auth*0256902 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Krištoufek Ladislav UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433529.pdf cav_un_auth*0284442 GAP402/11/0948 GA ČR CZ cav_un_auth*0303546 GP14-11402P GA ČR CZ In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ρDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between −1 and 1 as a standard correlation does. In the simulation study, we show that the values of ρDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters – correlation level, moving average window length and time series length – is discussed as well. AH 2015 1 RVO:67985556 http://hdl.handle.net/11104/0237765 S PHYSICSMULTIDISCIPLINARY 0.449 0.639 Q2 47.398 68.590 Q3 Q3 2014 84897552579 SCOPUS 000337854500019 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 406 č. 1 2014 169 175 Elsevier