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An evaluation of dynamic mutuality measurements and methods in cyclic time series

✍ Scribed by Xiaohua Xia; Guitian Huang; Na Duan

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
509 KB
Volume
15
Category
Article
ISSN
1007-5704

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✦ Synopsis

a b s t r a c t Several measurements and techniques have been developed to detect dynamic mutuality and synchronicity of time series in econometrics. This study aims to compare the performances of five methods, i.e., linear regression, dynamic correlation, Markov switching models, concordance index and recurrence quantification analysis, through numerical simulations. We evaluate the abilities of these methods to capture structure changing and cyclicity in time series and the findings of this paper would offer guidance to both academic and empirical researchers. Illustration examples are also provided to demonstrate the subtle differences of these techniques.

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