About: Multifractal Height Cross-Correlation Analysis

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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)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We introduce a new method for detection of long-range cross- correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). MF-HXA is a multivariate generalization of the height- height correlation analysis. We show that long-range cross-correlations can be caused by a mixture of the following – long-range dependence of separate processes and additional scaling of covariances between the processes. Simi- lar separation applies for cross-multifractality – standard separation between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. We further apply the method on returns and volatility of NASDAQ and S&P500 indices as well as of Crude and Heating Oil futures and uncover some interesting results. We introduce a new method for detection of long-range cross- correlations and cross-multifractality – multifractal height cross-correlation analysis (MF-HXA). MF-HXA is a multivariate generalization of the height- height correlation analysis. We show that long-range cross-correlations can be caused by a mixture of the following – long-range dependence of separate processes and additional scaling of covariances between the processes. Simi- lar separation applies for cross-multifractality – standard separation between distributional properties and correlations is enriched by division of correlations between auto-correlations and cross-correlations. We further apply the method on returns and volatility of NASDAQ and S&P500 indices as well as of Crude and Heating Oil futures and uncover some interesting results. (en)
Title	Multifractal Height Cross-Correlation Analysis Multifractal Height Cross-Correlation Analysis (en)
skos:prefLabel	Multifractal Height Cross-Correlation Analysis Multifractal Height Cross-Correlation Analysis (en)
skos:notation	RIV/67985556:_____/11:00367954!RIV13-AV0-67985556
http://linked.open...avai/riv/aktivita	I P Z
http://linked.open...avai/riv/aktivity	I, P(GA402/09/0965), P(GD402/09/H045), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Krištoufek, Ladislav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	214221
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/11:00367954
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	cross-correlations; multifractality; long-range dependence (en)
http://linked.open.../riv/klicoveSlovo	cross-correlations long-range dependence multifractality
http://linked.open...ontrolniKodProRIV	[063978540558]
http://linked.open...v/mistoKonaniAkce	Jánska Dolina
http://linked.open...i/riv/mistoVydani	Prague
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2011
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	Nonlinear Dynamics in Monetary and Financial Economics. Theory and Empirical Models. New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Krištoufek, Ladislav
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000309074600067
http://linked.open.../riv/zahajeniAkce	2011-09-06 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Proffesional publishing
https://schema.org/isbn	978-80-7431-058-4

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