| bibtype |
J -
Journal Article
|
| ARLID |
0452314 |
| utime |
20240103211417.9 |
| mtime |
20151216235959.9 |
| SCOPUS |
84926059721 |
| WOS |
000354589200011 |
| DOI |
10.1016/j.physa.2015.02.086 |
| title
(primary) (eng) |
Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? |
| specification |
| page_count |
4 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
431 |
| volume |
1 (2015) |
| page_num |
124-127 |
| publisher |
|
|
| keyword |
Correlations |
| keyword |
Power-law cross-correlations |
| keyword |
Bivariate Hurst exponent |
| keyword |
Spectrum coherence |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| garant |
A |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0303546 |
| project_id |
GP14-11402P |
| agency |
GA ČR |
| country |
CZ |
| mrcbC12-t |
Analýza dvoudimenzionální dlouhé paměti ve finančních časových řadách |
|
| abstract
(eng) |
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. |
| RIV |
AH |
| reportyear |
2016 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0253719 |
| confidential |
S |
| mrcbT16-e |
PHYSICS.MULTIDISCIPLINARY |
| mrcbT16-f |
1.738 |
| mrcbT16-g |
0.554 |
| mrcbT16-h |
8.8 |
| mrcbT16-i |
0.02088 |
| mrcbT16-j |
0.42 |
| mrcbT16-k |
18034 |
| mrcbT16-s |
0.677 |
| mrcbT16-4 |
Q2 |
| mrcbT16-5 |
1.276 |
| mrcbT16-6 |
793 |
| mrcbT16-7 |
Q2 |
| mrcbT16-B |
49.081 |
| mrcbT16-C |
71.5 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| mrcbT16-P |
71.519 |
| arlyear |
2015 |
| mrcbU14 |
84926059721 SCOPUS |
| mrcbU34 |
000354589200011 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 431 č. 1 2015 124 127 Elsevier |
|