Statistical test for multiple detrended cross-correlation coefficient

DOI10.1016/J.PHYSA.2020.125285MaRDI QIDQ2146262zbMATH OpenOpenAlexFDO

Authors A. M. da Silva Filho, G. F. Zebende, A. P. N. de Castro, E. F. Guedes

Publication date 16 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2020.125285

zbMATH Keywords

cross-correlationtimes seriesstatistical testDMC coefficienteconometry

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• Detecting long-range correlations with detrended fluctuation analysis
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient

Cited in

(3)

• Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series
• Factor-adjusted multiple testing of correlations
• Detrended multiple cross-correlation coefficient with sliding windows approach

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