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Wavelet correlation coefficient of ‘strongly correlated’ time series

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  • Razdan, Ashok

Abstract

In this paper, wavelet concepts are used to study two ‘strongly correlated’ financial time series. Apart from obtaining wavelet spectra, we also calculate the wavelet correlation coefficient and show that strong correlation or strong anti-correlation depends on scale.

Suggested Citation

  • Razdan, Ashok, 2004. "Wavelet correlation coefficient of ‘strongly correlated’ time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 335-342.
    • Handle: RePEc:eee:phsmap:v:333:y:2004:i:c:p:335-342
    DOI: 10.1016/j.physa.2003.10.042
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    References listed on IDEAS

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    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    Cited by:

    1. Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
    2. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
    3. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    4. Rehman, S. & Siddiqi, A.H., 2009. "Wavelet based correlation coefficient of time series of Saudi Meteorological Data," Chaos, Solitons & Fractals, Elsevier, vol. 39(4), pages 1764-1789.
    5. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
    6. Jammazi, Rania, 2012. "Cross dynamics of oil-stock interactions: A redundant wavelet analysis," Energy, Elsevier, vol. 44(1), pages 750-777.
    7. Ramón Egea Pérez & Mónica Cortés-Molina & Francisco J. Navarro-González, 2021. "Analysis of Rainfall Time Series with Application to Calculation of Return Periods," Sustainability, MDPI, vol. 13(14), pages 1-18, July.

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    Keywords

    Wavelet; Correlation; Scale; Stocks;
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