0452314 20240103211417.920151216235959.9 84926059721 000354589200011 10.1016/j.physa.2015.02.086 4 s. P cav_un_epca*02574230378-43714311 (2015)124-127Elsevier Correlations Power-law cross-correlations Bivariate Hurst exponent Spectrum coherence cav_un_auth*0256902 Ekonometrie Department of Econometrics E E Department of Econometrics Krištoufek Ladislav UTIA-B A Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452314.pdf cav_un_auth*0303546 GP14-11402P GA ČR CZ In this note, we investigate possible relationships between the bivariate Hurst exponent Hxy and an average of the separate Hurst exponents $/frac{1}{2}(H_x +H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy} = /frac{1}{2}(H_x + H_y )$ and $H_{xy} < /frac{1}{2}(H_x + H_y )$. However, we show that the case of $H_{xy} > /frac{1}{2}(H_x + H_y )$ is not possible regardless of stationarity issues. Further discussion of the implications is provided as well together with a note on the finite sample effect. AH 2016 1 RVO:67985556 http://hdl.handle.net/11104/0253719 S PHYSICS.MULTIDISCIPLINARY 1.738 0.554 8.8 0.02088 0.42 18034 0.677 Q2 1.276 793 Q2 49.081 71.5 Q3 Q3 71.519 2015 84926059721 SCOPUS 000354589200011 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 431 č. 1 2015 124 127 Elsevier