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Statistical test for Δ ρ D C C A cross-correlation coefficient

2018; Elsevier BV; Volume: 501; Linguagem: Inglês

10.1016/j.physa.2018.02.148

1873-2119

Everaldo Freitas Guedes, Adriana Brito, Florêncio Mendes Oliveira Filho, B.F. Fernandez, Arleys Pereira Nunes de Castro, Aloísio Machado da Silva Filho, Gilney Figueira Zebende,

Financial Risk and Volatility Modeling

In this paper we propose a new statistical test for ΔρDCCA, Detrended Cross-Correlation Coefficient Difference, a tool to measure contagion/interdependence effect in time series of size N at different time scale n. For this proposition we analyzed simulated and real time series. The results showed that the statistical significance of ΔρDCCA depends on the size N and the time scale n, and we can define a critical value for this dependency in 90%, 95%, and 99% of confidence level, as will be shown in this paper.