About: Testing power-law cross-correlations: rescaled covariance test

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://dx.doi.org/10.1140/epjb/e2013-40705-y
Description	We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range cross-correlated processes. Utilizing a heteroskedasticity and auto-correlation robust estimator of the long-term covariance, we develop a test with desirable statistical properties which is well able to distinguish between short-and long-range cross-correlations. Such test should be used as a starting point in the analysis of long-range cross-correlations prior to an estimation of bivariate long-term memory parameters. As an application, we show that the relationship between volatility and traded volume, and volatility and returns in the financial markets can be labeled as the power-law cross-correlated one. We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range cross-correlated processes. Utilizing a heteroskedasticity and auto-correlation robust estimator of the long-term covariance, we develop a test with desirable statistical properties which is well able to distinguish between short-and long-range cross-correlations. Such test should be used as a starting point in the analysis of long-range cross-correlations prior to an estimation of bivariate long-term memory parameters. As an application, we show that the relationship between volatility and traded volume, and volatility and returns in the financial markets can be labeled as the power-law cross-correlated one. (en)
Title	Testing power-law cross-correlations: rescaled covariance test Testing power-law cross-correlations: rescaled covariance test (en)
skos:prefLabel	Testing power-law cross-correlations: rescaled covariance test Testing power-law cross-correlations: rescaled covariance test (en)
skos:notation	RIV/00216208:11230/13:10173760!RIV14-GA0-11230___
http://linked.open...avai/riv/aktivita	I P S
http://linked.open...avai/riv/aktivity	I, P(GA402/09/0965), P(GAP402/11/0948), S
http://linked.open...iv/cisloPeriodika	10
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Krištoufek, Ladislav
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	110642
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/13:10173760
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	econophysics; fluctuations; volume; memory; volatility; stock-market; realized variance; statistical properties; long-range dependence; financial time-series (en)
http://linked.open.../riv/klicoveSlovo	econophysics fluctuations long-range dependence memory volatility volume stock-market financial time-series realized variance statistical properties
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[ABFF7503F7C6]
http://linked.open...i/riv/nazevZdroje	European Physical Journal B
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	86
http://linked.open...iv/tvurceVysledku	Krištoufek, Ladislav
http://linked.open...ain/vavai/riv/wos	000325253600004
issn	1434-6028
number of pages	15 (xsd:int)
http://bibframe.org/vocab/doi	10.1140/epjb/e2013-40705-y
http://localhost/t...ganizacniJednotka	11230

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