0343542 20240111140740.220100607235959.9 Praha ÚTIA AV ČR 2010 17 s. www Research Report 2281 multifractality long-range dependence cross-correlations cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. pdf http://library.utia.cas.cz/separaty/2010/E/kristoufek-multifractal height cross-correlation analysis.pdf 118310 GA UK CZ cav_un_auth*0274537 GD402/09/H045 GA ČR CZ cav_un_auth*0253998 GA402/09/0965 GA ČR CZ cav_un_auth*0253176 CEZ:AV0Z10750506 We introduce a new method for detection of long-range cross-correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). We show that long-range cross-correlations can be caused by long-range dependence of separate processes and the correlations above them. Similar separation applies for cross-multifractality – standard sep- aration between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. Efficiency of the method is showed on two types of simulated series – ARFIMA and Mandelbrot’s Binomial Multifractal model. We further ap- ply the method on returns and volatility of NASDAQ and S&P500 indices and uncover some interesting results. 2011 AH 4 O 4o 20231122134045.6 http://hdl.handle.net/11104/0185995 2010 Soubory v repozitáři: 0343542.pdf 2010 Praha ÚTIA AV ČR pdf