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A General Comovement Measure for Time Series

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

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  • Agnieszka Jach

    (Hanken School of Economics)

Abstract

We propose a nonparametric, time-dependent, cross-scale/cross-frequency dependence measure for multivariate stationary and non-stationary time series termed multi-thickness thick pen measure of association, MTTPMA. The building blocks of the measure are the Thick Pen Transform and the Thick Pen Measure of Association. The new measure is simple and visually interpretable. We demonstrate its potential application on synthetic financial contagion data.

Suggested Citation

  • Agnieszka Jach, 2021. "A General Comovement Measure for Time Series," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 279-284, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_41
    DOI: 10.1007/978-3-030-78965-7_41
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    Cited by:

    1. Wadud, Sania & Gronwald, Marc & Durand, Robert B. & Lee, Seungho, 2023. "Co-movement between commodity and equity markets revisited—An application of the Thick Pen method," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Gronwald, Marc & Jin, Xin, 2024. "Measuring world oil market integration with a Thick Pen," Energy Economics, Elsevier, vol. 130(C).

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