| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
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| Type: |
Articles in journals with impact factor |
| Year: |
2015 |
| Number: |
0 |
| ISSN / ISBN: |
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| Published in: |
Physica A: Statistical Mechanics and Its Applications 419, pp. 513-525 PDF arXiv |
| Publishing place: |
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| Keywords: |
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| JEL codes: |
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| Suggested Citation: |
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| Grants: |
GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016)
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| Abstract: |
We study finite sample properties of estimators of power-law cross-correlations - detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA) - with a special focus on short-term memory bias as well as power-law coherency. Presented broad Monte Carlo simulation study focuses on different time series lengths, specific methods' parameter setting, and memory strength. We find that each method is best suited for different time series dynamics so that there is no clear winner between the three. The method selection should be then made based on observed dynamic properties of the analyzed series. |
