Multifractal height cross-correlation analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F11%3A10100562" target="_blank" >RIV/00216208:11230/11:10100562 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Multifractal height cross-correlation analysis
Original language description
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 thatlong-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. Similar 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&amp;amp;amp;amp;amp;amp;amp;P500 indices as well as of Crude and Heating Oil futures and uncover some interesting results.
Czech name
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Czech description
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Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia. Part 2
ISBN
978-80-7431-059-1
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
407-412
Publisher name
Professional Publishing
Place of publication
Praha
Event location
Jánská Dolina, Slovensko
Event date
Sep 6, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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