Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10295374" target="_blank" >RIV/00216208:11230/15:10295374 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/15:00452314
Result on the web
<a href="http://dx.doi.org/10.1016/j.physa.2015.02.086" target="_blank" >http://dx.doi.org/10.1016/j.physa.2015.02.086</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2015.02.086" target="_blank" >10.1016/j.physa.2015.02.086</a>

Result language
angličtina
Original language name
Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
Original language description
In this note, we investigate possible relationships between the bivariate Hurst exponent H-xy and an average of the separate Hurst exponents 1/2 (H-x+H-y). We show that two cases are well theoretically founded. These are the cases when H-xy = 1/2 (H-x+H-y) and H-xy < 1/2 (H-x+H-y). However, we show that the case of H-xy > 1/2 (H-x+H-y) is not possible regardless of stationarity issues. Further discussion of the implications is provided as well together with a note on the finite sample effect. (C) 2015 Elsevier B.V. All rights reserved
Czech name
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Czech description
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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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Project
<a href="/en/project/GP14-11402P" target="_blank" >GP14-11402P: Bivariate long memory analysis of financial time series</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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