Grant detail

GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016)

Principal investigator: prof. PhDr. Ladislav Krištoufek Ph.D.
Collaborators: prof. PhDr. Ladislav Krištoufek Ph.D.
Description: The project focuses on analysis of financial time series in a framework of bivariate long memory with a special attention on power-law decaying cross-correlation function and its implications for dynamic properties of such processes. The first target is to use these implications for construction of statistical tests to distinguish between short and long memory. The second aim is to explore the possibility of processes having the power-law form of squared spectrum coherency by introducing several tests and estimators of the power-law coherency parameter together with their finite sample properties. The third target is to investigate the estimators of the bivariate long memory parameters and introduce new spectrum-based estimators. Overall, the project aims to propose a way how to treat long-range cross-correlated processes in finance environment starting from testing for the presence of memory, then checking the power-law coherency and in turn estimating the bivariate memory parameter with a focus on standard financial stylized facts.
Participation:
Work in grant:
Web link:
Finance: Grantová agentura České republiky (Czech Science Foundation)
End date: 2016
Publications:

Kristoufek, L. & Lunackova, P.: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets

Kristoufek, L.: Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

Kristoufek, L.: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales

Kristoufek, L.: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Kristoufek, L.: Finite sample properties of power-law cross-correlations estimators

Kristoufek, L.: Leverage effect in energy futures

Kristoufek, L.: Measuring correlations between non-stationary series with DCCA coefficient

Kristoufek, L.: On the interplay between short- and long-term memory in the power-law cross-correlations setting

Kristoufek, L.: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components

Kristoufek, L.: Scaling of dependence between foreign exchange rates and stock markets in Central Europe

Kristoufek, L.: Spectrum-based estimators of the bivariate Hurst exponent

Conferences:
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