Testing power-law cross-correlations: rescaled covariance test
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10173760" target="_blank" >RIV/00216208:11230/13:10173760 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/13:00395343
Result on the web
<a href="http://dx.doi.org/10.1140/epjb/e2013-40705-y" target="_blank" >http://dx.doi.org/10.1140/epjb/e2013-40705-y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1140/epjb/e2013-40705-y" target="_blank" >10.1140/epjb/e2013-40705-y</a>
Alternative languages
Result language
angličtina
Original language name
Testing power-law cross-correlations: rescaled covariance test
Original language description
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range cross-correlated processes. Utilizing a heteroskedasticity and auto-correlation robust estimator of the long-term covariance, we develop a test with desirable statistical properties which is well able to distinguish between short-and long-range cross-correlations. Such test should be used as a starting point in the analysis of long-range cross-correlations prior to an estimation of bivariate long-term memory parameters. As an application, we show that the relationship between volatility and traded volume, and volatility and returns in the financial markets can be labeled as the power-law cross-correlated one.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Physical Journal B
ISSN
1434-6028
e-ISSN
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Volume of the periodical
86
Issue of the periodical within the volume
10
Country of publishing house
US - UNITED STATES
Number of pages
15
Pages from-to
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UT code for WoS article
000325253600004
EID of the result in the Scopus database
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