A new correlation coefficient for bivariate time-series data
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- Orhan Erdem & Elvan Ceyhan & Yusuf Varlı, 2011. "A New Correlation Coefficient for Bivariate Time-Series Data," Working Papers 201101, Murat Sertel Center for Advanced Economic Studies, Istanbul Bilgi University.
References listed on IDEAS
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- Kristoufek, Ladislav, 2014.
"Measuring correlations between non-stationary series with DCCA coefficient,"
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- Zebende, G.F. & da Silva, M.F. & Machado Filho, A., 2013. "DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1756-1761.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Li, Hailin, 2015. "Piecewise aggregate representations and lower-bound distance functions for multivariate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 10-25.
- Leena Pasanen & Lasse Holmström, 2017. "Scale space multiresolution correlation analysis for time series data," Computational Statistics, Springer, vol. 32(1), pages 197-218, March.
- repec:eee:phsmap:v:482:y:2017:i:c:p:42-55 is not listed on IDEAS
More about this item
KeywordsCross-correlation; Pearson’s correlation coefficient; DCCA; Stationarity; Non-stationary time series;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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