A DFA approach for assessing asymmetric correlations
AbstractHere we propose a method, based on detrended fluctuation analysis, to investigate asymmetric correlations in nonstationary time series. The aim is to show that, for a certain range of time scales, different scaling properties are found if signal trending is either positive and negative. We illustrate the method by selected examples from physics and finance.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 388 (2009)
Issue (Month): 12 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Asymmetric correlations; Scaling; DFA;
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- Xia, Jianan & Shang, Pengjian & Wang, Jing & Shi, Wenbin, 2014. "Classifying of financial time series based on multiscale entropy and multiscale time irreversibility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 151-158.
- Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
- Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
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