Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabasi & Vicsek [Barabasi, A.L., Vicsek, T.: Multifractality of self-affine fractals, Physical Review A 44(4), 1991]. The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate a power of the method on both simulated and real-world time series.
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- Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifractal Volatility," Elsevier Monographs, Elsevier, edition 1, number 9780121500139.