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Multifractal Height Cross-Correlation Analysis
- 1.0367954 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
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]
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant - others:GAUK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : cross-correlations * multifractality * long-range dependence
Subject RIV: AH - Economics
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.
Permanent Link: http://hdl.handle.net/11104/0202449
Number of the records: 1