Title: Dynamic correlations at different time-scales with Empirical Mode Decomposition,
Abstract: The Empirical Mode Decomposition (EMD) provides a tool to characterize time
series in terms of its implicit components oscillating at different
time-scales. We apply this decomposition to intraday time series of the
following three financial indices: the S\&P 500 (USA), the IPC (Mexico) and the
VIX (volatility index USA), obtaining time-varying multidimensional
cross-correlations at different time-scales. The correlations computed over a
rolling window are compared across the three indices, across the components at
different time-scales, at different lags and over time. We uncover a rich
heterogeneity of interactions which depends on the time-scale and has important
led-lag relations which can have practical use for portfolio management, risk
estimation and investments.