On Tail Dependence and Multifractality

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00533622" target="_blank" >RIV/67985556:_____/20:00533622 - isvavai.cz</a>

Result on the web

<a href="https://www.mdpi.com/2227-7390/8/10/1767" target="_blank" >https://www.mdpi.com/2227-7390/8/10/1767</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/math8101767" target="_blank" >10.3390/math8101767</a>

Result language

angličtina

Original language name

On Tail Dependence and Multifractality

Original language description

We study whether, and if yes then how, a varying auto-correlation structure in different parts of distributions is reflected in the multifractal properties of a dynamic process. Utilizing the quantile autoregressive process with Gaussian copula using three popular estimators of the generalized Hurst exponent, our Monte Carlo simulation study shows that such dynamics translate into multifractal dynamics of the generated series. The tail-dependence of the auto-correlations forms strong enough non-linear dependencies to be reflected in the estimated multifractal spectra and separated from the case of the standard auto-regressive process. With a quick empirical example from financial markets, we argue that the interaction is more important for the asymmetric tail dependence. In addition, we discuss and explain the often reported paradox of higher multifractality of shuffled series compared to the original financial series. In short, the quantile-dependent auto-correlation structures qualify as sources of multifractality and they are worth further theoretical examination.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50201 - Economic Theory

Project

<a href="/en/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2020

Confidentiality

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

Name of the periodical

Mathematics

ISSN

2227-7390

e-ISSN

—

Volume of the periodical

8

Issue of the periodical within the volume

10

Country of publishing house

CH - SWITZERLAND

Number of pages

13

Pages from-to

1767

UT code for WoS article

000585454200001

EID of the result in the Scopus database

2-s2.0-85092929530