bibtype J - Journal Article
ARLID 0433533
utime 20240103204843.0
mtime 20141023235959.9
SCOPUS 84894589608
WOS 000333788400028
DOI 10.1016/j.physa.2014.01.058
title (primary) (eng) Measuring correlations between non-stationary series with DCCA coefficient
specification
page_count 8 s.
media_type P
serial
ARLID cav_un_epca*0257423
ISSN 0378-4371
title Physica. A : Statistical Mechanics and its Applications
volume_id 402
volume 1 (2014)
page_num 291-298
publisher
name Elsevier
keyword power-law cross-correlations
keyword long-term memory
keyword econophysics
author (primary)
ARLID cav_un_auth*0256902
full_dept (cz) Ekonometrie
full_dept (eng) Department of Econometrics
department (cz) E
department (eng) E
full_dept Department of Econometrics
share 100
name1 Krištoufek
name2 Ladislav
institution UTIA-B
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source
url http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433533.pdf
cas_special
project
ARLID cav_un_auth*0284442
project_id GAP402/11/0948
agency GA ČR
country CZ
project
ARLID cav_un_auth*0303546
project_id GP14-11402P
agency GA ČR
country CZ
abstract (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.
RIV AH
reportyear 2015
num_of_auth 1
inst_support RVO:67985556
permalink http://hdl.handle.net/11104/0237764
confidential S
mrcbT16-e PHYSICSMULTIDISCIPLINARY
mrcbT16-j 0.449
mrcbT16-s 0.639
mrcbT16-4 Q2
mrcbT16-B 47.398
mrcbT16-C 68.590
mrcbT16-D Q3
mrcbT16-E Q3
arlyear 2014
mrcbU14 84894589608 SCOPUS
mrcbU34 000333788400028 WOS
mrcbU63 cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 402 č. 1 2014 291 298 Elsevier