Detail publikace

Kristoufek, L.: Mixed-correlated ARFIMA processes for power-law cross-correlations

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2013
Číslo: 0
ISSN / ISBN:
Publikováno v: Physica A: Statistical Mechanics and its Applications 392(24), pp. 6484-6493 arXiv PDF
Místo vydání:
Klíčová slova: Power-law cross-correlations; Long-term memory; Econophysics
JEL kódy:
Citace:
Granty: 402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích GAČR P402/11/0948 Vývoj analytického rámce pro energetickou bezpečnost: Ekonometrie časových řad, teorie her, meta-analýza a teorie regulace GAUK 1110213 Dlouhá paměť křížových korelací: Teorie, testy, odhady a aplikace (GAUK submitted) SVV 267 504: Intensification of Doctoral Research in Economics and Finance: Extending Alternative Approaches to Economic Models
Abstrakt: We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when $H_{xy}=\frac{1}{2}(H_x+H_y)$, MC-ARFIMA also allows for processes with $H_{xy}<\frac{1}{2}(H_x+H_y)$ but also for long-range correlated processes which are either short-range cross-correlated or simply correlated. The major contribution of MC-ARFIMA lays in the fact that the processes have well-defined asymptotic properties for $H_x$, $H_y$ and $H_{xy}$, which are derived in the paper, so that the processes can be used in simulation studies comparing various estimators of the bivariate Hurst exponent $H_{xy}$. Moreover, the framework allows for modeling of processes which are found to have $H_{xy}<\frac{1}{2}(H_x+H_y)$.
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