Publication detail

Kristoufek, L.: On the interplay between short- and long-term memory in the power-law cross-correlations setting

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2015
Number: 0
ISSN / ISBN:
Published in: Physica A: Statistical Mechanics and Its Applications 421, pp. 218-222 arXiv PDF
Publishing place:
Keywords: power-law cross-correlations, long term memory, short term memory
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 focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties. Implications of these findings for the power-law cross-correlations concept are further discussed.
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