Multifractal height cross-correlation analysis

0343542 - ÚTIA 2011 CZ eng V - Research Report
Krištoufek, Ladislav
Multifractal height cross-correlation analysis.
Praha: ÚTIA AV ČR, 2010. 17 s. Research Report, 2281.
R&D Projects: GA ČR(CZ) GD402/09/H045; GA ČR(CZ) GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : multifractality * long-range dependence * cross-correlations
Subject RIV: AH - Economics
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.
Permanent Link: http://hdl.handle.net/11104/0185995