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
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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
<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
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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