On the behavior of the DFA and DCCA in trend-stationary processes (Q141549)

This paper is a study on the econometric time series. The authors show the asymptotic theory of the detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA) for trend-stationary stochastic processes without any assumption on the specific form of the underlying distribution. They define the cross-correlation coefficient for a block matrix. They develop stationarity results and the theoretical counterpart of DCCA cross-correlation. They also develop closed forms for moments up to second order, including the covariance structure for DFA and DCCA and a miscellany of law of large results. They then illustrate with a Monte Carlo simulation study and an empirical application to econometric time series.