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DCCA cross-correlation coefficient with sliding windows approach

Author

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  • Guedes, E.F.
  • Zebende, G.F.

Abstract

We have implemented in this paper the DCCA cross-correlation coefficient, ρDCCA, with sliding windows approach to measure cross-correlation as a function of time. Thereby, from two non-stationary time series a fixed size window will be defined by w, and the coefficients ρDCCA calculated for different time scales (4≤n≤w4). Following this procedure it was possible to set up a cross-correlation color map of ρDCCA, which was tested in this paper for a simulated (random) and an empirical (econometric) case. This new color map with sliding windows shows the time scale and the current time for a cross-correlation analysis. In this way, it is possible to analyze the complete cross-correlation between two variables in different areas of knowledge, such as economics, our case of study.

Suggested Citation

  • Guedes, E.F. & Zebende, G.F., 2019. "DCCA cross-correlation coefficient with sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 527(C).
    • Handle: RePEc:eee:phsmap:v:527:y:2019:i:c:s037843711930754x
    DOI: 10.1016/j.physa.2019.121286
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    Citations

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    Cited by:

    1. Guedes, E.F. & da Silva Filho, A.M. & Zebende, G.F., 2021. "Detrended multiple cross-correlation coefficient with sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    2. Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    3. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    4. da Silva Filho, A.M. & Zebende, G.F. & Guedes, E.F., 2021. "Analysis of intentional lethal violent crimes: A sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    5. Santos, E.C.O. & Guedes, E.F. & Zebende, G.F. & da Silva Filho, A.M., 2022. "Autocorrelation of wind speed: A sliding window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    6. Derick Quintino & Cristiane Ogino & Inzamam Ul Haq & Paulo Ferreira & Márcia Oliveira, 2023. "An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis," Energies, MDPI, vol. 16(5), pages 1-14, February.
    7. Stefano Ferretti, 2023. "On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 969-1005, October.
    8. Fernando Rebola & Luís Loures & Paulo Ferreira & Ana Loures, 2022. "Inland or Coastal: That’s the Question! Different Impacts of COVID-19 on the Tourism Sector in Portugal," Sustainability, MDPI, vol. 14(23), pages 1-9, December.
    9. Inacio, C.M.C. & Kristoufek, L. & David, S.A., 2023. "Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 626(C).
    10. Zebende, G.F. & Brito, A.A. & Castro, A.P., 2020. "DCCA cross-correlation analysis in time-series with removed parts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    11. da Silva Filho, A.M. & Zebende, G.F. & de Castro, A.P.N. & Guedes, E.F., 2021. "Statistical test for Multiple Detrended Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    12. Derick David Quintino & Heloisa Lee Burnquist & Paulo Jorge Silveira Ferreira, 2021. "Carbon Emissions and Brazilian Ethanol Prices: Are They Correlated? An Econophysics Study," Sustainability, MDPI, vol. 13(22), pages 1-18, November.

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