Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
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Publication:1618468
DOI10.1016/j.physa.2015.02.086zbMath1400.60048arXiv1501.02947OpenAlexW2058312009MaRDI QIDQ1618468
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
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- 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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