0367954 20240103195918.720121107235959.9 000309074600067 6 s. P cav_un_epca*0364870978-80-7431-058-41-19PragueProffesional publishing2011 cross-correlations multifractality long-range dependence 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. http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf 118310 GAUK CZ cav_un_auth*0274537 GA402/09/0965 GA ČR cav_un_auth*0253176 GD402/09/H045 GA ČR cav_un_auth*0253998 CEZ:AV0Z10750506 We introduce a new method for detection of long-range cross- correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). MF-HXA is a multivariate generalization of the height- height correlation analysis. We show that long-range cross-correlations can be caused by a mixture of the following – long-range dependence of separate processes and additional scaling of covariances between the processes. Simi- lar separation applies for cross-multifractality – standard separation between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. We further apply the method on returns and volatility of NASDAQ and S&P500 indices as well as of Crude and Heating Oil futures and uncover some interesting results. cav_un_auth*0277377 Mathematical Methods in Economics 2011 Jánska Dolina 06.09.2011-09.09.2011 SK 2013 AH 1 4 A 4a 20231122134801.8 RVO:67985556 http://hdl.handle.net/11104/0202449 2011 Soubory v repozitáři: kristoufek-0367954.pdf 000309074600067 WOS cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 1 19 Prague Proffesional publishing 2011