Finite sample properties of power-law cross-correlations estimators

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00433530" target="_blank" >RIV/67985556:_____/15:00433530 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/15:10281477
Result on the web
<a href="http://dx.doi.org/10.1016/j.physa.2014.10.068" target="_blank" >http://dx.doi.org/10.1016/j.physa.2014.10.068</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2014.10.068" target="_blank" >10.1016/j.physa.2014.10.068</a>

Result language
angličtina
Original language name
Finite sample properties of power-law cross-correlations estimators
Original language description
We study finite sample properties of estimators of power-law cross-correlations ? detrended cross- correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving- average cross-correlation analysis (DMCA) ? with a special focus on short-term memory bias as well as power-law coherency. Presented broad Monte Carlo simulation study focuses on different time series lengths, specific methods? parameter setting, and memory strength. We find that each method is best suited for different time series dynamics so that there is no clear winner between the three. The method selection should be then made based on observed dynamic properties of the analyzed series.
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
<a href="/en/project/GP14-11402P" target="_blank" >GP14-11402P: Bivariate long memory analysis of financial time series</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

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

Similar results(10)