| bibtype |
V -
Research Report
|
| ARLID |
0343542 |
| utime |
20240111140740.2 |
| mtime |
20100607235959.9 |
| title
(primary) (eng) |
Multifractal height cross-correlation analysis |
| publisher |
| place |
Praha |
| name |
ÚTIA AV ČR |
| pub_time |
2010 |
|
| specification |
| page_count |
17 s. |
| media_type |
www |
|
| edition |
| name |
Research Report |
| volume_id |
2281 |
|
| keyword |
multifractality |
| keyword |
long-range dependence |
| keyword |
cross-correlations |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
118310 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0274537 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2011 |
| RIV |
AH |
| mrcbC52 |
4 O 4o 20231122134045.6 |
| permalink |
http://hdl.handle.net/11104/0185995 |
| arlyear |
2010 |
| mrcbTft |
\nSoubory v repozitáři: 0343542.pdf |
| mrcbU10 |
2010 |
| mrcbU10 |
Praha ÚTIA AV ČR |
| mrcbU56 |
pdf |
|