Original title: Multifractal Height Cross-Correlation Analysis
Authors: Krištoufek, Ladislav
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2011, Jánska Dolina (SK), 2011-09-06 / 2011-09-09
Year: 2011
Language: eng
Abstract: 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.
Keywords: cross-correlations; long-range dependence; multifractality
Project no.: CEZ:AV0Z10750506 (CEP), 118310, GA402/09/0965 (CEP), GD402/09/H045 (CEP)
Funding provider: GAUK, GA ČR, GA ČR
Host item entry: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf
Original record: http://hdl.handle.net/11104/0202449

Permalink: http://www.nusl.cz/ntk/nusl-126867


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