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Multifractal Height Cross-Correlation Analysis

SYSNO ASEP	0367954
Document Type	C - Proceedings Paper (int. conf.)
R&D Document Type	Conference Paper
Title	Multifractal Height Cross-Correlation Analysis
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Number of authors	1
Source Title	Mathematical Methods in Economics 2011. - Prague : Proffesional publishing, 2011 - ISBN 978-80-7431-058-4
Pages	s. 1-19
Number of pages	6 s.
Publication form	Print - P
Action	Mathematical Methods in Economics 2011
Event date	06.09.2011-09.09.2011
VEvent location	Jánska Dolina
Country	SK - Slovakia
Event type	EUR
Language	eng - English
Country	CZ - Czech Republic
Keywords	cross-correlations ; multifractality ; long-range dependence
Subject RIV	AH - Economics
R&D Projects	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
Institutional support	UTIA-B - RVO:67985556
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000309074600067
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2013

Number of the records: 1