Kristoufek, L.: On the interplay between short- and long-term memory in the power-law cross-correlations setting
| Autor: | prof. PhDr. Ladislav Krištoufek Ph.D., |
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| Typ: | Články v impaktovaných časopisech |
| Rok: | 2015 |
| Číslo: | 0 |
| ISSN / ISBN: | |
| Publikováno v: | Physica A: Statistical Mechanics and Its Applications 421, pp. 218-222 arXiv PDF |
| Místo vydání: | |
| Klíčová slova: | power-law cross-correlations, long term memory, short term memory |
| JEL kódy: | |
| Citace: | |
| Granty: | GAČR 14-11402P Analýza dvoudimenzionální dlouhé paměti ve finančních časových řadách (2014-2016) GAUK 1110213 Dlouhá paměť křížových korelací: Teorie, testy, odhady a aplikace (GAUK submitted) |
| Abstrakt: | We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties. Implications of these findings for the power-law cross-correlations concept are further discussed. |
