Wavelet correlation coefficient of ‘strongly correlated’ time series

In this paper, wavelet concepts are used to study two ‘strongly correlated’ financial time series. Apart from obtaining wavelet spectra, we also calculate the wavelet correlation coefficient and show that strong correlation or strong anti-correlation depends on scale.

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Year of publication:	2004
Authors:	Razdan, Ashok
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 333.2004, C, p. 335-342
Publisher:	Elsevier
Subject:	Wavelet \| Correlation \| Scale \| Stocks

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

Persistent link: https://www.econbiz.de/10010872729