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This paper seeks to investigate the dynamic relationship between daily stock market indices in NAFTA countries from 8 November 1991 to 16 March 2018, using for the first time nonlinear, nonparametric, non-stationary methods. We apply two novel nonlinear, nonparametric, non-stationary dynamic correlation techniques—rolling window Spearman correlation and wavelet coherence—to study the relationships...
In this paper, a PDF-induced distance (PID) based on permutation cross-distribution entropy is proposed to measure the dissimilarity between complex time series. It overcomes the effects of spatial distance by focusing on similar local fluctuation patterns. It also corrects the disadvantage of being insensitive to symmetric skewness distributions. We have applied PID to synthetic data and financial...
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