A DFA approach for assessing asymmetric correlations

Here we propose a method, based on detrended fluctuation analysis, to investigate asymmetric correlations in nonstationary time series. The aim is to show that, for a certain range of time scales, different scaling properties are found if signal trending is either positive and negative. We illustrate the method by selected examples from physics and finance.

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Year of publication:	2009
Authors:	Alvarez-Ramirez, Jose ; Rodriguez, Eduardo ; Carlos Echeverria, Juan
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 12, p. 2263-2270
Publisher:	Elsevier
Subject:	Asymmetric correlations \| Scaling \| DFA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010872454