DCCA cross-correlation coefficient: Quantifying level of cross-correlation

By Gilney F. Zebende. 2011

537 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/03a33a4c1383482d17a3645ff1b8ff04e8963749

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In Artificial Intelligence

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Citations in the corpus

Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series (2013, methodology): “Apart from the analysis of the power laws in the cross-correlation function itself, Zebende [17] proposed the DCCA cross-correlation coefficient as a combination of DCCA and the detrended fluctuation analysis (DFA) [10, 11, 7].”
Measuring correlations between non-stationary series with DCCA coefficient (2013, methodology): “Detrended cross-correlation coefficient [27] combines detrended cross-correlation analysis (DCCA) [19] and detrended fluctuation analysis (DFA) [32–34] to construct a correlation coefficient for detrended series, which might be also asymptotically non-stationary (with the Hurst exponent H ≥ 1), as”
Multifractal detrended cross-correlation analysis for power markets (2013, methodology): “[34], and then using the methods of MF-DXA, we discuss the power-law long range of cross-correlation of the two power operating data which can be verified through the hypothesis testing with ρDXA.”
Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, methodology): “Zebende [24] introduces the DCCA cross-correlation coefficient, which has been applied in time series of climatological time series [25].”
Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013, methodology): “To address the drawbacks of PCC, based on the detrended fluctuation analysis (DFA) method [35] and the detrended cross-correlation analysis (DCCA) method [36,37], Zebende [34] recently developed a novel detrended cross-correlation coefficient, i.”
Autocorrelation and cross-correlation in time series of homicide and attempted homicide (2014, methodology): “The DCCA cross-correlation coefficient [26]”