A new correlation coefficient for bivariate time-series data
Tài liệu tham khảo
Wilcox, 2001, Inferences about correlations when there is heteroscedasticity, Br. J. Math. Stat. Psychol., 54, 39, 10.1348/000711001159410
Alexander, 2008
Enders, 2004
Tsay, 2005, vol. 543
Brockwell, 2009
Phillips, 1986, Understanding spurious regressions in econometrics, J. Econometrics, 33, 311, 10.1016/0304-4076(86)90001-1
Engle, 1987, Co-integration and error correction: representation, estimation, and testing, Econometrica, 251, 10.2307/1913236
Podobnik, 2011, Statistical tests for power-law cross-correlated processes, Phys. Rev. E, 84, 066118, 10.1103/PhysRevE.84.066118
Zebende, 2013, Dcca cross-correlation coefficient differentiation: theoretical and practical approaches, Physica A, 392, 1756, 10.1016/j.physa.2013.01.011
Podobnik, 2008, Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series, Phys. Rev. Lett., 100, 084102, 10.1103/PhysRevLett.100.084102
Zebende, 2011, Dcca cross-correlation coefficient: quantifying level of cross-correlation, Physica A, 390, 614, 10.1016/j.physa.2010.10.022
Kristoufek, 2014, Measuring correlations between non-stationary series with dcca coefficient, Physica A, 402, 291, 10.1016/j.physa.2014.01.058
Kristoufek, 2014, Detrending moving-average cross-correlation coefficient: measuring cross-correlations between non-stationary series, Physica A, 406, 169, 10.1016/j.physa.2014.03.015