A new correlation for bivariate time series with a higher order of integration

DOI10.1080/03610918.2018.1520875zbMath1489.62267OpenAlexW2898466299WikidataQ129074350 ScholiaQ129074350MaRDI QIDQ5083879

Sudeep R. Bapat

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1520875

zbMATH Keywords

correlationtime seriescointegrationrandom walkbivariatenon-stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

An alternative measure of positive correlation for bivariate time series

Uses Software

• astsa

Cites Work

• A new correlation coefficient for bivariate time-series data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Unit Roots, Cointegration, and Structural Change
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