0452316 20240103211418.120151216235959.9 000348688200020 84916631995 10.1016/j.physa.2014.11.040 5 s. P cav_un_epca*02574230378-43714211 (2015)218-222Elsevier Power-law cross-correlations Long term memory Short term memory cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics 100 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452316.pdf GP14-11402P GA ČR CZ cav_un_auth*0303546 We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power- law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties. Implications of these findings for the power-law cross-correlations concept are further discussed. 2016 AH 1 RVO:67985556 http://hdl.handle.net/11104/0253710 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 84916631995 SCOPUS 000348688200020 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 421 č. 1 2015 218 222 Elsevier