Testing power-law cross-correlations: Rescaled covariance test

European Physical Journal B

Volumn 86, Issue 10, 2013, Pages

  Kristoufek, Ladislav ^a,b  

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

^b CHARLES UNIVERSITY   (Czech Republic)

Author keywords

[No Author keywords available]

Indexed keywords

CROSS-CORRELATIONS; FINANCIAL MARKET; HETEROSKEDASTICITY; LONG TERM MEMORY; PARTIAL SUMS; POWER LAW DIVERGENCE; ROBUST ESTIMATORS; STATISTICAL PROPERTIES;

CONDENSED MATTER PHYSICS; PHYSICS;

COMMERCE;

EID: 84893020391     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2013-40705-y     Document Type: Article

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