Mixed-correlated ARFIMA processes for power-law cross-correlations (Q1673362): Difference between revisions

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+Scaling behaviors in differently developed markets
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+Multifractal Hurst analysis of crude oil prices
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+Multi-scaling in finance
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+Cross-correlations between volume change and price change
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+MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
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+Gaussian semiparametric estimation of multivariate fractionally integrated processes
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+Maximum likelihood estimation of stationary multivariate ARFIMA processes
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+Local Whittle estimation of multi-variate fractionally integrated processes
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+Identification of the Multivariate Fractional Brownian Motion
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+CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
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+Computationally efficient methods for two multivariate fractionally integrated models
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+Spectral analysis of fractionally cointegrated systems
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+The averaged periodogram estimator for a power law in coherency
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+Long Range Dependence
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