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Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
- 1.0452314 - ÚTIA 2016 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
Physica. A : Statistical Mechanics and its Applications. Roč. 431, č. 1 (2015), s. 124-127. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : Correlations * Power-law cross-correlations * Bivariate Hurst exponent * Spectrum coherence
Subject RIV: AH - Economics
Impact factor: 1.785, year: 2015
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452314.pdf
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.
Permanent Link: http://hdl.handle.net/11104/0253719
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