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Conference Paper (international conference)

Multifractal Height Cross-Correlation Analysis

Krištoufek Ladislav

: Mathematical Methods in Economics 2011, p. 1-19

: Mathematical Methods in Economics 2011, (Jánska Dolina, SK, 06.09.2011-09.09.2011)

: CEZ:AV0Z10750506

: 118310, GAUK, GA402/09/0965, GA ČR, GD402/09/H045, GA ČR

: cross-correlations, multifractality, long-range dependence

: http://library.utia.cas.cz/separaty/2012/E/kristoufek-0367954.pdf

(eng): 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.

: AH

2019-01-07 08:39