Mixed-correlated ARFIMA processes for power-law cross-correlations
From MaRDI portal
Publication:1673362
DOI10.1016/j.physa.2013.08.041zbMath1395.62273arXiv1307.6046OpenAlexW2096649183MaRDI QIDQ1673362
Publication date: 11 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6046
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)
Related Items
A note on power-law cross-correlated processes, Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?, Transfer entropy coefficient: quantifying level of information flow between financial time series, Power-Law Cross-Correlations: Issues, Solutions and Future Challenges, Detrended fluctuation analysis based on higher-order moments of financial time series, Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach, Chaos based nonlinear analysis to study cardiovascular responses to changes in posture, Modified multifractal large deviation spectrum based on CID for financial market system, A new methodology for local cross-correlation between two nonstationary time series, Multivariate Hadamard self-similarity: testing fractal connectivity, Simulation analysis of multifractal detrended methods based on the ARFIMA process, Weighted multifractal cross-correlation analysis based on Shannon entropy, The Fractal Nature of Bitcoin: Evidence from Wavelet Power Spectra, The detection of local irreversibility in time series based on segmentation, Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion, Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity, The novel multi-scale local irreversibility analysis method based on segmentation about time series
Cites Work
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Multifractal Hurst analysis of crude oil prices
- Scaling behaviors in differently developed markets
- Spectral analysis of fractionally cointegrated systems
- MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
- The averaged periodogram estimator for a power law in coherency
- Cross-correlations between volume change and price change
- Computationally efficient methods for two multivariate fractionally integrated models
- Multi-scaling in finance
- Maximum likelihood estimation of stationary multivariate ARFIMA processes
- CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
- Identification of the Multivariate Fractional Brownian Motion
- Local Whittle estimation of multi-variate fractionally integrated processes
- Long Range Dependence
