0433533 20240103204843.020141023235959.9 84894589608 000333788400028 10.1016/j.physa.2014.01.058 8 s. P cav_un_epca*02574230378-43714021 (2014)291-298Elsevier power-law cross-correlations long-term memory econophysics 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-0433533.pdf cav_un_auth*0284442 GAP402/11/0948 GA ČR CZ cav_un_auth*0303546 GP14-11402P GA ČR CZ 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 2015 1 RVO:67985556 http://hdl.handle.net/11104/0237764 S PHYSICSMULTIDISCIPLINARY 0.449 0.639 Q2 47.398 68.590 Q3 Q3 2014 84894589608 SCOPUS 000333788400028 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 402 č. 1 2014 291 298 Elsevier