Measuring correlations between non-stationary series with DCCA coefficient
Statistical Finance
2014-03-27 v1
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 ). 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.
Cite
@article{arxiv.1310.3984,
title = {Measuring correlations between non-stationary series with DCCA coefficient},
author = {Ladislav Kristoufek},
journal= {arXiv preprint arXiv:1310.3984},
year = {2014}
}
Comments
10 pages