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

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  • Ladislav Kristoufek

Abstract

We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when $H_{xy}={1}{2}(H_x+H_y)$, MC-ARFIMA also allows for processes with $H_{xy}

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  • Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
  • Handle: RePEc:arx:papers:1307.6046
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    Citations

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    Cited by:

    1. Ladislav Kristoufek, 2014. "Spectrum-based estimators of the bivariate Hurst exponent," Papers 1408.6637, arXiv.org, revised Nov 2014.
    2. Kristoufek, Ladislav & Lunackova, Petra, 2015. "Rockets and feathers meet Joseph: Reinvestigating the oil–gasoline asymmetry on the international markets," Energy Economics, Elsevier, vol. 49(C), pages 1-8.
    3. repec:eee:phsmap:v:490:y:2018:i:c:p:311-322 is not listed on IDEAS
    4. Kristoufek, Ladislav, 2015. "On the interplay between short and long term memory in the power-law cross-correlations setting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 218-222.
    5. Teng, Yue & Shang, Pengjian, 2017. "Transfer entropy coefficient: Quantifying level of information flow between financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 60-70.
    6. 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.
    7. Kristoufek, Ladislav, 2014. "Measuring correlations between non-stationary series with DCCA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 291-298.
    8. Kristoufek, Ladislav, 2015. "Finite sample properties of power-law cross-correlations estimators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 513-525.
    9. repec:arx:papers:1501.02947 is not listed on IDEAS
    10. Xi, Caiping & Zhang, Shuning & Xiong, Gang & Zhao, Huichang & Yang, Yonghong, 2017. "The application of the multifractal cross-correlation analysis methods in radar target detection within sea clutter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 839-854.

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