Publication at Faculty of Mathematics and Physics, Faculty of Social Sciences |
2014
Abstract
In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter d).
For a comparison, we also report the results for the standard Pearson correlation coefficient. The DCCA coefficient dominates the Pearson coefficient for non-stationary series. (C) 2014 Elsevier B.V.
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