Statistical test for Δρ&ITDCCA&IT cross-correlation coefficient

In this paper we propose a new statistical test for Delta rho(DCCA), Detrended Cross-Correlation Coefficient Difference, a tool to measure contagion/interdependence effect in time series of size N at different time scale n. For this proposition we analyzed simulated and real time series. The results showed that the statistical significance of Delta rho(DCCA) depends on the size N and the time scale n, and we can define a critical value for this dependency in 90%, 95%, and 99% of confidence level, as will be shown in this paper. (C) 2018 Elsevier B.V. All rights reserved.