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On the interplay between short and long term memory in the power-law cross-correlations setting
- 1.0452316 - ÚTIA 2016 RIV NL eng J - Journal Article
Krištoufek, Ladislav
On the interplay between short and long term memory in the power-law cross-correlations setting.
Physica. A : Statistical Mechanics and its Applications. Roč. 421, č. 1 (2015), s. 218-222. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : Power-law cross-correlations * Long term memory * Short term memory
Subject RIV: AH - Economics
Impact factor: 1.785, year: 2015
http://library.utia.cas.cz/separaty/2015/E/kristoufek-0452316.pdf
We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power- law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties. Implications of these findings for the power-law cross-correlations concept are further discussed.
Permanent Link: http://hdl.handle.net/11104/0253710
Number of the records: 1