0395343 20240103202847.320130920235959.9 000325253600004 10.1140/epjb/e2013-40705-y 15 s. P cav_un_epca*02529071434-60288610 (2013)Springer power-law cross-correlations testing long-term memory 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/2013/E/kristoufek-testing power-law cross-correlations rescaled covariance test.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 We introduce a new test for detection of power-law cross-correlations among a pair of time series – the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range cross-correlated processes. Utilizing a heteroskedasticity and auto-correlation robust estimator of the long-term covariance, we develop a test with desirable statistical properties which is well able to distinguish between short- and long-range cross-correlations. Such test should be used as a starting point in the analysis of long-range cross-correlations prior to an estimation of bivariate long-term memory parameters. As an application, we show that the relationship between volatility and traded volume, and volatility and returns in the financial markets can be labeled as the power-law cross-correlated one. 2014 AH 1 RVO:67985556 http://hdl.handle.net/11104/0223793 PHYSICSCONDENSEDMATTER 1.515 0.228 7.IV 0.02082 0.616 7662 508 0.724 ScienceCitationIndex Q2 57.585 38.060 Q2 Q3 2013 000325253600004 WOS cav_un_epca*0252907 European Physical Journal B 1434-6028 1434-6036 Roč. 86 č. 10 2013 , 418-1-418-15 Springer