Publication detail

Kristoufek, L.: Spectrum-based estimators of the bivariate Hurst exponent

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2014
Number: 0
ISSN / ISBN:
Published in: Physical Review E 90, art. 062802 arXiv PDF
Publishing place:
Keywords: power-law cross-correlations, long-term memory, spectrum-based estimators
JEL codes:
Suggested Citation:
Grants: GAČR 14-11402P Bivariate long memory analysis of financial time series (2014-2016) GAUK 1110213 Long-range cross-correlations: Theory, tests, estimators and application (GAUK submitted)
Abstract: We introduce two new estimators of the bivariate Hurst exponent in the power-law cross-correlations setting -- the cross-periodogram and local $X$-Whittle estimators -- as generalizations of their univariate counterparts. As the spectrum-based estimators are dependent on a part of the spectrum taken into consideration during estimation, a simulation study showing performance of the estimators under varying bandwidth parameter as well as correlation between processes and their specification is provided as well. The newly introduced estimators are less biased than the already existent averaged periodogram estimator which, however, has slightly lower variance. The spectrum-based estimators can serve as a good complement to the popular time domain estimators.

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