A new correlation coefficient for bivariate time-series data

DOI10.1016/j.physa.2014.07.054zbMath1395.62266OpenAlexW3123401915MaRDI QIDQ1783111

Elvan Ceyhan, Orhan Erdem, 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

DCCAstationaritycross-correlationnon-stationary time seriesPearson's correlation coefficient

Mathematics Subject Classification ID

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

Related Items (6)

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 ⋮ 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

Uses Software

• FinTS

Cites Work

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

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