Detail publikace

Kristoufek, L.: Testing power-law cross-correlations: Rescaled covariance test

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2013
Číslo: 0
ISSN / ISBN:
Publikováno v: European Physical Journal B 86, art. 418 arXiv PDF
Místo vydání:
Klíčová slova: long-term memory, cross-correlations, testing
JEL kódy:
Citace:
Granty: 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 new test for detection of power-law cross-correlations among a pair of time series – the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range cross-correlated processes. Utilizing a heteroskedasticity and auto-correlation robust estimator of the long-term covariance, we develop a test with desirable statistical properties which is well able to distinguish between short- and long-range cross-correlations. Such test should be used as a starting point in the analysis of long-range cross-correlations prior to an estimation of bivariate long-term memory parameters. As an application, we show that the relationship between volatility and traded volume, and volatility and returns in the financial markets can be labeled as the power-law cross-correlated one.
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