Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
By Ladislav Kristoufek. 2013
166 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Signal Processing
View Paper: https://www.semanticscholar.org/paper/0a50e5032b5fc7b43a6c783381fe8e001b7fbb1a
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Citations in the corpus
- Are cryptocurrencies connected to forex? A quantile cross-spectral approach (2019, background): “…of the connectedness between forex currencies and cryptocurrencies and to make the results comparable to those of other studies (e.g., Yermack, 2015; Bouri et al., 2017a; Bouri et al., 2017b), I calculate standard Pearson’s correlations and the DMCA coefficient proposed by Kristoufek (2014).”