Testing for effects of cross-correlations on joint multifractality
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Fractals (28A80) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)
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Cites work
- A Brief Introduction to DFA-Based Multiscale Analysis
- Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
- Detrended fluctuation analysis of multivariate time series
- Estimating long-range dependence: Finite sample properties and confidence intervals
- Estimation of self-similar Gaussian fields using wavelet transform
- Finite-size effect and the components of multifractality in financial volatility
- scientific article; zbMATH DE number 5152150 (Why is no real title available?)
- scientific article; zbMATH DE number 1072471 (Why is no real title available?)
- scientific article; zbMATH DE number 2110517 (Why is no real title available?)
- Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
- Modelling financial time series using multifractal random walks
- Multifractal analysis of hydrologic data using wavelet methods and fluctuation analysis
- MULTIFRACTAL CROSS WAVELET ANALYSIS
- Multifractal detrended cross-correlation analysis of temporal and spatial seismic data
- Multifractal detrended fluctuation analysis of nonstationary time series
- Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods
- Multifractality Tests Using Bootstrapped Wavelet Leaders
- Singularity spectrum of fractal signals from wavelet analysis: Exact results
- THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS
- Wavelet analysis and synthesis of fractional Brownian motion
- Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter
- Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
- Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet
- Weighted multifractal cross-correlation analysis based on Shannon entropy
Cited in
(4)- Statistical properties of the detrended multiple cross-correlation coefficient
- Higher-order multifractal detrended partial cross-correlation analysis for the correlation estimator
- Cross-correlations and joint gaussianity in multivariate level crossing models
- Multifractal cross-correlation analysis based on statistical moments
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