@inbook{d17bd34cdbc2410581885af811b136e7,
title = "A General Comovement Measure for Time Series",
abstract = "We propose a nonparametric, time-dependent, cross-scale/cross-frequency dependence measure for multivariate stationary and non-stationary time series termed multi-thickness thick pen measure of association, MTTPMA. The building blocks of the measure are the Thick Pen Transform and the Thick Pen Measure of Association. The new measure is simple and visually interpretable. We demonstrate its potential application on synthetic financial contagion data.",
keywords = "112 Statistics and probability, cross-scale, multiscale, multivariate, nonparametric, time-varying",
author = "Agnieszka Jach",
year = "2021",
doi = "10.1007/978-3-030-78965-7_41",
language = "English",
isbn = "978-3-030-78964-0",
series = "Mathematical and Statistical Methods for Actuarial Sciences and Finance",
publisher = "Springer",
pages = "279--284",
editor = "Marco Corazza and Manfred Gilli and Cira Perna and Claudio Pizzi and Marilena Sibillo",
booktitle = "Mathematical and Statistical Methods for Actuarial Sciences and Finance",
address = "International",
edition = "1",
}