Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Physica A: Statistical Mechanics and its Applications

Volumn 406, Issue , 2014, Pages 169-175

  Kristoufek, Ladislav ^a,b  

^a INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

^b CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Correlations; Econophysics; Non stationarity

Indexed keywords

PHYSICS;

CORRELATIONS; CROSS-CORRELATION ANALYSIS; CROSS-CORRELATION COEFFICIENT; DETRENDING MOVING AVERAGES; ECONOPHYSICSS; NON-STATIONARITIES; NON-STATIONARY SERIES; PARAMETERS CORRELATIONS;

TIME SERIES ANALYSIS;

EID: 84897552579     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2014.03.015     Document Type: Article

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