英文标题：
《Measuring correlations between non-stationary series with DCCA
coefficient》
---
作者：
Ladislav Kristoufek
---
最新提交年份：
2013
---
英文摘要：
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\'s correlation coefficient. The DCCA coefficient dominates the Pearson\'s coefficient for non-stationary series.
---
中文摘要：
在这篇简短的报告中，我们研究了DCCA系数测量非平稳序列之间相关性水平的能力。基于广泛的Monte Carlo模拟研究，我们表明DCCA系数可以准确估计相关系数，而不考虑非平稳性的强度（由分数差分参数$d$测量）。为了进行比较，我们还报告了标准皮尔逊相关系数的结果。对于非平稳序列，DCCA系数主导皮尔逊系数。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->