bibtype	C - Conference Paper (international conference)
ARLID	0367954
utime	20240103195918.7
mtime	20121107235959.9
WOS	000309074600067
title (primary) (eng)	Multifractal Height Cross-Correlation Analysis
specification	page_count 6 s. media_type P
serial	ARLID cav_un_epca*0364870 ISBN 978-80-7431-058-4 title Mathematical Methods in Economics 2011 page_num 1-19 publisher place Prague name Proffesional publishing year 2011
keyword	cross-correlations
keyword	multifractality
keyword	long-range dependence
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	url http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf
cas_special	project project_id 118310 agency GAUK country CZ ARLID cav_un_auth*0274537 project project_id GA402/09/0965 agency GA ČR ARLID cav_un_auth*0253176 project project_id GD402/09/H045 agency GA ČR ARLID cav_un_auth*0253998 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). 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. action ARLID cav_un_auth*0277377 name Mathematical Methods in Economics 2011 place Jánska Dolina dates 06.09.2011-09.09.2011 country SK reportyear 2013 RIV AH num_of_auth 1 mrcbC52 4 A 4a 20231122134801.8 inst_support RVO:67985556 permalink http://hdl.handle.net/11104/0202449 arlyear 2011 mrcbTft \nSoubory v repozitáři: kristoufek-0367954.pdf mrcbU34 000309074600067 WOS mrcbU63 cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 1 19 Prague Proffesional publishing 2011