Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00561394" target="_blank" >RIV/67985556:_____/22:00561394 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/22:10436519
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0378437121008037?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437121008037?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2021.126530" target="_blank" >10.1016/j.physa.2021.126530</a>
Alternative languages
Result language
angličtina
Original language name
Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression
Original language description
Heterogeneity of effects between economic variables has been a frequently discussed topic for many years now. However, the estimation of such scale-dependent effects has proved challenging. Here, we propose a multivariate multiscale regression approach based on the combination of detrended fluctuation analysis and detrended cross-correlation analysis, but the idea can be easily translated into other time and frequency domain frameworks. As illustrations, we pick two classic economic models – the Taylor’s rule and the money demand function for the USA and Japan – and we uncover evident scale-dependence in the individual effects not visible by the simple regression tools. Importantly, the proposed framework can be used in any discipline where studying the effects at various scales is of interest. Further applications are thus certainly at hand.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
Result continuities
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
Others
Publication year
2022
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
1873-2119
Volume of the periodical
588
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
16
Pages from-to
126530
UT code for WoS article
000729809800011
EID of the result in the Scopus database
2-s2.0-85118890244