A New Correlation Coefficient for Bivariate Time-Series Data
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- Erdem, Orhan & Ceyhan, Elvan & Varli, Yusuf, 2014. "A new correlation coefficient for bivariate time-series data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 274-284.
References listed on IDEAS
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- repec:eee:phsmap:v:482:y:2017:i:c:p:42-55 is not listed on IDEAS
- 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.
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More about this item
KeywordsAsymptotic normality; consistency; cross-correlation; Pearsons correlation coe¢ cient; stock returns; stationarity.;
- 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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