Multifractal Height Cross-Correlation Analysis

0367954 - ÚTIA 2013 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Krištoufek, Ladislav
Multifractal Height Cross-Correlation Analysis.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 1-19. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Jánska Dolina (SK), 06.09.2011-09.09.2011]
Grant CEP: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant ostatní: GAUK(CZ) 118310
Výzkumný záměr: CEZ:AV0Z10750506
Institucionální podpora: RVO:67985556
Klíčová slova: cross-correlations * multifractality * long-range dependence
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0202449