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

DOI10.1016/j.physa.2015.02.086zbMath1400.60048arXiv1501.02947OpenAlexW2058312009MaRDI QIDQ1618468

Ladislav Kristoufek

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.02947

zbMATH Keywords

correlationsbivariate Hurst exponentpower-law cross-correlationsspectrum coherence

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18)

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Cites Work

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• Multifractal detrended fluctuation analysis of nonstationary time series
• Multiple local Whittle estimation in stationary systems
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• The averaged periodogram estimator for a power law in coherency
• Cross-correlations between volume change and price change
• Testing power-law cross-correlations: rescaled covariance test

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