Název:
Multifractal Height Cross-Correlation Analysis
Autoři:
Krištoufek, Ladislav Typ dokumentu: Příspěvky z konference Konference/Akce: Mathematical Methods in Economics 2011, Jánska Dolina (SK), 2011-09-06 / 2011-09-09
Rok:
2011
Jazyk:
eng
Abstrakt: 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 and Heating Oil futures and uncover some interesting results.
Klíčová slova:
cross-correlations; long-range dependence; multifractality Číslo projektu: CEZ:AV0Z10750506 (CEP), 118310, GA402/09/0965 (CEP), GD402/09/H045 (CEP) Poskytovatel projektu: GAUK, GA ČR, GA ČR Zdrojový dokument: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4