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Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

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  • Kristoufek, Ladislav

Abstract

In this note, we investigate possible relationships between the bivariate Hurst exponent Hxy and an average of the separate Hurst exponents 12(Hx+Hy). We show that two cases are well theoretically founded. These are the cases when Hxy=12(Hx+Hy) and Hxy<12(Hx+Hy). However, we show that the case of Hxy>12(Hx+Hy) is not possible regardless of stationarity issues. Further discussion of the implications is provided as well together with a note on the finite sample effect.

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  • Kristoufek, Ladislav, 2015. "Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 124-127.
    • Handle: RePEc:eee:phsmap:v:431:y:2015:i:c:p:124-127
    DOI: 10.1016/j.physa.2015.02.086
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    Cited by:

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    3. Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.
    4. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.

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