  In this short report, we investigate the ability of the DCCA coefficient to
measure correlation level between non-stationary series. Based on a wide Monte
Carlo simulation study, we show that the DCCA coefficient can estimate the
correlation coefficient accurately regardless the strength of non-stationarity
(measured by the fractional differencing parameter $d$). For a comparison, we
also report the results for the standard Pearson's correlation coefficient. The
DCCA coefficient dominates the Pearson's coefficient for non-stationary series.

Statistical Finance