Work

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

Year: 2014

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2014.03.015

Author: Ladislav Kristoufek

Institutions: Charles University, Czech Academy of Sciences, Institute of Information Theory and Automation

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: European Commission, Grantová Agentura České Republiky

Awards: G3207356259, G393177772, Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, G5702163051, Bivariate long memory analysis of financial time series, Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation

OpenAlex ID: W2045220091

FWCI: 43.89

Cites: 26

Cited by: 179

Related to: 10