| bibtype |
J -
Journal Article
|
| ARLID |
0395343 |
| utime |
20240103202847.3 |
| mtime |
20130920235959.9 |
| WOS |
000325253600004 |
| DOI |
10.1140/epjb/e2013-40705-y |
| title
(primary) (eng) |
Testing power-law cross-correlations: Rescaled covariance test |
| specification |
| page_count |
15 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0252907 |
| ISSN |
1434-6028 |
| title
|
European Physical Journal B |
| volume_id |
86 |
| volume |
10 (2013) |
| publisher |
|
|
| keyword |
power-law cross-correlations |
| keyword |
testing |
| keyword |
long-term memory |
| 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 |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(eng) |
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. |
| reportyear |
2014 |
| RIV |
AH |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0223793 |
| mrcbT16-e |
PHYSICSCONDENSEDMATTER |
| mrcbT16-f |
1.515 |
| mrcbT16-g |
0.228 |
| mrcbT16-h |
7.IV |
| mrcbT16-i |
0.02082 |
| mrcbT16-j |
0.616 |
| mrcbT16-k |
7662 |
| mrcbT16-l |
508 |
| mrcbT16-s |
0.724 |
| mrcbT16-z |
ScienceCitationIndex |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
57.585 |
| mrcbT16-C |
38.060 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q3 |
| arlyear |
2013 |
| mrcbU34 |
000325253600004 WOS |
| mrcbU63 |
cav_un_epca*0252907 European Physical Journal B 1434-6028 1434-6036 Roč. 86 č. 10 2013 , 418-1-418-15 Springer |
|