Original title: Multifractal height cross-correlation analysis
Authors: Krištoufek, Ladislav
Document type: Research reports
Year: 2010
Language: eng
Series: Research Report, volume: 2281
Abstract: We introduce a new method for detection of long-range cross-correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). We show that long-range cross-correlations can be caused by long-range dependence of separate processes and the correlations above them. Similar separation applies for cross-multifractality – standard sep- aration between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. Efficiency of the method is showed on two types of simulated series – ARFIMA and Mandelbrot’s Binomial Multifractal model. We further ap- ply the method on returns and volatility of NASDAQ and S&P500 indices and uncover some interesting results.
Keywords: cross-correlations; long-range dependence; multifractality
Project no.: CEZ:AV0Z10750506 (CEP), 118310, GD402/09/H045 (CEP), GA402/09/0965 (CEP)
Funding provider: GA UK, GA ČR, GA ČR

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/2010/E/kristoufek-multifractal height cross-correlation analysis.pdf
Original record: http://hdl.handle.net/11104/0185995

Permalink: http://www.nusl.cz/ntk/nusl-41491


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