A New Correlation Coefficient for Bivariate Time-Series Data
Correlation in time series has recently recieved a lot of attentions. Its usage has been getting an important role in Social Science and Finance. For example, pair trading in Finance is interested with the correlation between stock prices, returns etc. In general, Pearsonís correlation coefficient is seen in the area, although it has many assumptions which restrict its usage. In here, we introduce a new correlation coe¢ cient which takes account the lag difference of data points as a moment. It is more convenient to show the the direction of the movements of the two variables over time. We also simulate the main differences between Pearson's and our correlation coe¢ cients in some cases.
|Date of creation:||Apr 2011|
|Date of revision:|
|Contact details of provider:|| Web page: http://mscenter.bilgi.edu.tr|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kristoufek, Ladislav, 2014.
"Measuring correlations between non-stationary series with DCCA coefficient,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 402(C), pages 291-298.
- Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- 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.
- Peter C.B. Phillips, 1985.
"Understanding Spurious Regressions in Econometrics,"
Cowles Foundation Discussion Papers
757, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
- Zebende, G.F., 2011. "DCCA cross-correlation coefficient: Quantifying level of cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 614-618.
When requesting a correction, please mention this item's handle: RePEc:msc:wpaper:201101. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fatma Aslan)
If references are entirely missing, you can add them using this form.