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Detrended multiple cross-correlation coefficient with sliding windows approach

Author

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  • Guedes, E.F.
  • da Silva Filho, A.M.
  • Zebende, G.F.

Abstract

In this paper we implemented the detrended multiple cross-correlation coefficient with sliding windows approach in order to measure multiple cross-correlation between time series as a function of time scale n, and a sliding time τ. Faced with several non-stationary time series, a fixed size window will be defined by w, and the coefficients DMCx2 are calculated for different time scales (4≤n≤w4) and time τ. Following this methodology, it was possible to set up a DMCx2 cross-correlation color map for a simulated (random) and an empirical case. This new color map with sliding windows shows the time scale and the current day for a cross-correlation analysis. In this way, it is possible to analyze the multiple cross-correlation between three or more variables in different areas of knowledge, such as economics and finance.

Suggested Citation

  • Guedes, E.F. & da Silva Filho, A.M. & Zebende, G.F., 2021. "Detrended multiple cross-correlation coefficient with sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    • Handle: RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002624
    DOI: 10.1016/j.physa.2021.125990
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    References listed on IDEAS

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    Cited by:

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