| bibtype |
J -
Journal Article
|
| ARLID |
0533622 |
| utime |
20240903190026.7 |
| mtime |
20201028235959.9 |
| SCOPUS |
85092929530 |
| WOS |
000585454200001 |
| DOI |
10.3390/math8101767 |
| title
(primary) (eng) |
On Tail Dependence and Multifractality |
| specification |
| page_count |
13 s. |
| media_type |
E |
|
| serial |
| ARLID |
cav_un_epca*0453601 |
| ISSN |
2227-7390 |
| title
|
Mathematics |
| volume_id |
8 |
| publisher |
|
|
| keyword |
multifractality |
| keyword |
tail dependence |
| keyword |
serial correlation |
| keyword |
copulas |
| author
(primary) |
| ARLID |
cav_un_auth*0294289 |
| name1 |
Avdulaj |
| name2 |
Krenar |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
50 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
50 |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GJ17-12386Y |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0351447 |
|
| abstract
(eng) |
We study whether, and if yes then how, a varying auto-correlation structure in different parts of distributions is reflected in the multifractal properties of a dynamic process. Utilizing the quantile autoregressive process with Gaussian copula using three popular estimators of the generalized Hurst exponent, our Monte Carlo simulation study shows that such dynamics translate into multifractal dynamics of the generated series. The tail-dependence of the auto-correlations forms strong enough non-linear dependencies to be reflected in the estimated multifractal spectra and separated from the case of the standard auto-regressive process. With a quick empirical example from financial markets, we argue that the interaction is more important for the asymmetric tail dependence. In addition, we discuss and explain the often reported paradox of higher multifractality of shuffled series compared to the original financial series. In short, the quantile-dependent auto-correlation structures qualify as sources of multifractality and they are worth further theoretical examination. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2021 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0312007 |
| mrcbC61 |
1 |
| confidential |
S |
| article_num |
1767 |
| mrcbC86 |
3+4 Article Mathematics |
| mrcbC91 |
A |
| mrcbT16-e |
MATHEMATICS |
| mrcbT16-i |
1.35574 |
| mrcbT16-j |
0.354 |
| mrcbT16-s |
0.495 |
| mrcbT16-B |
17.45 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2020 |
| mrcbU14 |
85092929530 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000585454200001 WOS |
| mrcbU63 |
cav_un_epca*0453601 Mathematics 2227-7390 2227-7390 Roč. 8 č. 10 2020 MDPI ONLINE |
|