Počet záznamů: 1  

Multifractal height cross-correlation analysis

  1. 1.
    0343542 - ÚTIA 2011 CZ eng V - Výzkumná zpráva
    Krištoufek, Ladislav
    Multifractal height cross-correlation analysis.
    Praha: ÚTIA AV ČR, 2010. 17 s. Research Report, 2281.
    Grant CEP: GA ČR(CZ) GD402/09/H045; GA ČR(CZ) GA402/09/0965
    Grant ostatní: GA UK(CZ) 118310
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: multifractality * long-range dependence * cross-correlations
    Kód oboru RIV: AH - Ekonomie
    http://library.utia.cas.cz/separaty/2010/E/kristoufek-multifractal height cross-correlation analysis.pdf

    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.
    Trvalý link: http://hdl.handle.net/11104/0185995

     
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