A new correlation coefficient for bivariate time-series data

DOI10.1016/J.PHYSA.2014.07.054MaRDI QIDQ1783111zbMATH OpenOpenAlexFDO

Authors Orhan Erdem, Elvan Ceyhan, Yusuf Varli

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.07.054

zbMATH Keywords

stationaritycross-correlationnon-stationary time seriesDCCAPearson's correlation coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Analysis of Financial Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Time series: Theory and methods
• Understanding spurious regressions in econometrics

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(11)

• A new correlation for bivariate time series with a higher order of integration
• Event detection in online social network: methodologies, state-of-art, and evolution
• An alternative measure of positive correlation for bivariate time series
• Scale space multiresolution correlation analysis for time series data
• Backcasting and forecasting time series using detrended cross-correlation analysis
• A novel weight determination method for time series data aggregation
• Nonparametric estimation of time varying correlation coefficient
• Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
• Analysis of detrended time-lagged cross-correlation between two nonstationary time series
• An entropy-based measure of correlation for time series
• Interpreting Measured Serial Correlation In Univariate Time Series Analysis, With An Example From The New York Stock Exchange

Describes a project that uses

Uses Software

• FinTS

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