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On the interplay between short and long term memory in the power-law cross-correlations setting

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10295380" target="_blank" >RIV/00216208:11230/15:10295380 - isvavai.cz</a>

  • Alternative codes found

    RIV/67985556:_____/15:00452316

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.physa.2014.11.040" target="_blank" >http://dx.doi.org/10.1016/j.physa.2014.11.040</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.physa.2014.11.040" target="_blank" >10.1016/j.physa.2014.11.040</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    On the interplay between short and long term memory in the power-law cross-correlations setting

  • Original language description

    We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law-decay-of of the cross-correlation-function-comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties. Implications of these findings for thepower-law cross-correlations concept are further discussed. (C) 2014 Elsevier B.V. All rights reserved.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • 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

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Physica A: Statistical Mechanics and its Applications

  • ISSN

    0378-4371

  • e-ISSN

  • Volume of the periodical

    421

  • Issue of the periodical within the volume

    1.3.

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    5

  • Pages from-to

    218-222

  • UT code for WoS article

    000348688200020

  • EID of the result in the Scopus database

    2-s2.0-84916631995