Search results
- 1.0473066 - ÚTIA 2018 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Fractal approach towards power-law coherency to measure cross-correlations between time series.
Communications in Nonlinear Science and Numerical Simulation. Roč. 50, č. 1 (2017), s. 193-200. ISSN 1007-5704. E-ISSN 1878-7274
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : power-law coherency * power-law cross-correlations * correlations
OECD category: Applied Economics, Econometrics
Impact factor: 3.181, year: 2017
http://library.utia.cas.cz/separaty/2017/E/kristoufek-0473066.pdf
Permanent Link: http://hdl.handle.net/11104/0271360 - 2.0472030 - ÚTIA 2017 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Power-law cross-correlations estimation under heavy tails.
Communications in Nonlinear Science and Numerical Simulation. Roč. 40, č. 1 (2016), s. 163-172. ISSN 1007-5704. E-ISSN 1878-7274
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : Power-law cross-correlations * Heavy tails * Monte Carlo study
Subject RIV: AH - Economics
Impact factor: 2.784, year: 2016
http://library.utia.cas.cz/separaty/2016/E/kristoufek-0472030.pdf
Permanent Link: http://hdl.handle.net/11104/0269402 - 3.0452316 - 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
Permanent Link: http://hdl.handle.net/11104/0253710 - 4.0452314 - 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
Permanent Link: http://hdl.handle.net/11104/0253719 - 5.0436818 - ÚTIA 2015 RIV US eng J - Journal Article
Krištoufek, Ladislav
Spectrum-based estimators of the bivariate Hurst exponent.
Physical Review E. Roč. 90, č. 6 (2014), art. 062802. ISSN 1539-3755. E-ISSN 2470-0053
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : bivariate Hurst exponent * power-law cross-correlations * estimation
Subject RIV: AH - Economics
Impact factor: 2.288, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0436818.pdf
Permanent Link: http://hdl.handle.net/11104/0241889 - 6.0433533 - ÚTIA 2015 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Measuring correlations between non-stationary series with DCCA coefficient.
Physica. A : Statistical Mechanics and its Applications. Roč. 402, č. 1 (2014), s. 291-298. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Grant - others:GA ČR(CZ) GAP402/11/0948
Program: GA
Institutional support: RVO:67985556
Keywords : power-law cross-correlations * long-term memory * econophysics
Subject RIV: AH - Economics
Impact factor: 1.732, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433533.pdf
Permanent Link: http://hdl.handle.net/11104/0237764 - 7.0433530 - ÚTIA 2015 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Finite sample properties of power-law cross-correlations estimators.
Physica. A : Statistical Mechanics and its Applications. Roč. 419, č. 1 (2015), s. 513-525. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Keywords : power-law cross-correlations * long-term memory * econophysics
Subject RIV: AH - Economics
Impact factor: 1.785, year: 2015
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433530.pdf
Permanent Link: http://hdl.handle.net/11104/0237767 - 8.0395343 - ÚTIA 2014 RIV DE eng J - Journal Article
Krištoufek, Ladislav
Testing power-law cross-correlations: Rescaled covariance test.
European Physical Journal B. Roč. 86, č. 10 (2013), 418-1-418-15. ISSN 1434-6028. E-ISSN 1434-6036
R&D Projects: GA ČR GA402/09/0965
Institutional support: RVO:67985556
Keywords : power-law cross-correlations * testing * long-term memory
Subject RIV: AH - Economics
Impact factor: 1.463, year: 2013
http://library.utia.cas.cz/separaty/2013/E/kristoufek-testing power-law cross-correlations rescaled covariance test.pdf
Permanent Link: http://hdl.handle.net/11104/0223793 - 9.0395342 - ÚTIA 2014 RIV NL eng J - Journal Article
Krištoufek, Ladislav
Mixed-correlated ARFIMA processes for power-law cross-correlations.
Physica. A : Statistical Mechanics and its Applications. Roč. 392, č. 24 (2013), s. 6484-6493. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965
Institutional support: RVO:67985556
Keywords : power-law cross-correlations * long-term memory * econophysics
Subject RIV: AH - Economics
Impact factor: 1.722, year: 2013
http://library.utia.cas.cz/separaty/2013/E/kristoufek-mixed-correlated arfima processes for power-law cross-correlations.pdf
Permanent Link: http://hdl.handle.net/11104/0223794