Mixed-correlated ARFIMA processes for power-law cross-correlations

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 24, 2013, Pages 6484-6493

  Kristoufek, Ladislav ^a,b  

^a INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

^b CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Econophysics; Long term memory; Power law cross correlations

Indexed keywords

ASYMPTOTIC PROPERTIES; CROSS CORRELATIONS; ECONOPHYSICSS; HURST EXPONENTS; LONG TERM MEMORY; POWER-LAW; SIMULATION STUDIES; UNIVARIATE;

PHYSICS;

EID: 84885024811     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.08.041     Document Type: Article

References (43)

1. T. Di Matteo, T. Aste, and M. Dacorogna Scaling behaviors in differently developed markets Physica A 324 2003 183 188
2. T. Di Matteo, T. Aste, and M. Dacorogna Long-term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development Journal of Banking & Finance 29 2005 827 851
3. J. Barunik, and L. Kristoufek On Hurst exponent estimation under heavy-tailed distributions Physica A 389 18 2010 3844 3855
4. L. Kristoufek On spurious anti-persistence in the US stock indices Chaos, Solitons and Fractals 43 2010 68 78
5. L. Kristoufek Long-range dependence in returns and volatility of Central European stock indices Bulletin of the Czech Econometric Society 17 27 2010 50 67
6. A. Carbone, G. Castelli, and H. Stanley Time-dependent hurst exponent in financial time series Physica A 344 2004 267 271
7. N. Vandewalle, and M. Ausloos Crossing of two mobile averages: a method for measuring the roughness exponent Physical Review E 58 1998 6832 6834
8. P. Norouzzadeh, and B. Rahmanic A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate Physica A 367 2006 328 336
9. J. Alvarez-Ramirez, M. Cisneros, C. Ibarra-Valdez, and A. Soriano Multifractal Hurst analysis of crude oil prices Physica A 313 2002 651 670
10. J. Alvarez-Ramirez, and R. Escarela-Perez Time-dependent correlations in electricity markets Energy Economics 32 2 2010 269 277
11. G. Power, and C. Turvey Long-range dependence in the volatility of commodity futures prices: wavelet-based evidence Physica A 389 2010 79 90
12. D. Cajueiro, and B. Tabak Long-range dependence and multifractality in the term structure of LIBOR interest rates Physica A 373 2007 603 614
13. T. Di Matteo Multi-scaling in finance Quantitative Finance 7 1 2007 21 36
14. B. Podobnik, I. Grosse, D. Horvatic, S. Ilic, P.C. Ivanov, and H.E. Stanley Quantifying cross-correlations using local and global detrending approaches European Physical Journal B 71 2009 243 250
15. B. Podobnik, D. Horvatic, A. Petersen, and H.E. Stanley Cross-correlations between volume change and price change Proceedings of the National Academy of Sciences of the United States of America 106 52 2009 22079 22084
16. E.L. Siqueira Jr., T. Stošić, L. Bejan, and B. Stošić Correlations and cross-correlations in the Brazilian agrarian commodities and stocks Physica A 389 2010 2739 2743
17. L.-Y. He, and S.-P. Chen Nonlinear bivariate dependency of price-volume relationships in agricultural commodity futures markets: a perspective from multifractal detrended cross-correlation analysis Physica A 390 2011 297 308
18. L.-Y. He, and S.-P. Chen Multifractal detrended cross-correlation analysis of agricultural futures markets Chaos, Solitons and Fractals 44 2011 355 361
19. F. Ma, Y. Wei, and D. Huang Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets Physica A 392 2013 1659 1670
20. G.-J. Wang, and C. Xie Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket Physica A 392 2013 1418 1428
21. D.-H. Wang, Y.-Y. Suo, X.-W. Yu, and M. Lei Price-volume cross-correlation analysis pf CSI300 index futures Physica A 392 2013 1172 1179
22. B. Podobnik, and H. Stanley Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series Physical Review Letters 100 2008 084102
23. C. Peng, S. Buldyrev, S. Havlin, M. Simons, H. Stanley, and A. Goldberger Mosaic organization of DNA nucleotides Physical Review E 49 2 1994 1685 1689
24. G.-F. Gu, and W.-X. Zhou Detrending moving average algorithm for multifractals Physical Review E 82 2010 011136
25. Z.-Q. Jiang, and W.-X. Zhou Multifractal detrending moving average cross-correlation analysis Physical Review E 84 2011 016106
26. W.-X. Zhou Multifractal detrended cross-correlation analysis for two nonstationary signals Physical Review E 77 2008 066211
27. L. Kristoufek Multifractal height cross-correlation analysis: a new method for analyzing long-range cross-correlations Europhysics Letters (EPL) 95 2011 68001
28. A.-L. Barabasi, P. Szepfalusy, and T. Vicsek Multifractal spectra of multi-affine functions Physica A 178 1991 17 28
29. A.L. Barabasi, and T. Vicsek Multifractality of self-affine fractals Physical Review A 44 1991 2730 2733
30. E. Alessio, A. Carbone, G. Castelli, and V. Frappietro Second-order moving average and scaling of stochastic time series European Physical Journal B 27 2002 197 200
31. L.-Y. He, and S.-P. Chen A new approach to quantify power-law cross-correlation and its application to commodity markets Physica A 390 2011 3806 3814
32. J. Wang, P. Shang, and W. Ge Multifractal cross-correlation analysis based on statistical moments Fractals 20 3 2012 271 279
33. K. Shimotsu Gaussian semiparametric estimation of multivariate fractionally integrated processes Journal of Econometrics 137 2007 277 310
34. W.-J. Tsay Maximum likelihood estimation of stationary multivariate ARFIMA processes Journal of Statistical Computation & Simulation 7 2010 729 745
35. F. Nielsen Local Whittle estimation of multi-variate fractionally integrated processes Journal of Time Series Analysis 32 3 2011 317 335
36. P.-O. Amblard, and J.-F. Coeurjolly Identification of the multivariate fractional Brownian motion IEEE Transactions on Signal Processing 59 11 2011 5152 5168
37. I. Lobato Consistency of the average cross-periodigram in long memory time series Journal of Time Series Analysis 18 1997 137 155
38. R. Sela, and C. Hurvich Computationally efficient methods for two multivariate fractionally integrated models Journal of Time Series Analysis 30 6 2009 631 651
39. M.-O. Nielsen Spectral analysis of fractional cointegrated systems Economics Letters 83 2004 225 231
40. R. Sela, Three essays in econometrics: multivariate long memory time series and applying regression trees to longitudinal data. Ph.D. Thesis, New York University, 2010.
41. R. Sela, and C. Hurvich The average periodogram estimator for a power law in coherency Journal of Time Series Analysis 33 2012 340 363
42. B. Podobnik, D. Horvatic, A. Lam Ng, H. Stanley, and P. Ivanov Modeling long-range cross-correlations in two-component arfima and fiarch processes Physica A 387 2008 3954 3959
43. G. Samorodnitsky Long range dependence Foundations and Trends in Stochastic Systems 1 3 2006 163 257