Multifractal Height Cross-Correlation Analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00367954" target="_blank" >RIV/67985556:_____/11:00367954 - 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 that long-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. Simi- lar 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&P500 indices as well as of Crude andHeating Oil futures and uncover some interesting results.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

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

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