Publication detail

Kristoufek, L.: Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2015
Number: 0
Published in: Physica A: Statistical Mechanics and Its Applications 431, pp. 124-127 arXiv PDF
Publishing place:
Keywords: correlations, power-law cross-correlations, bivariate Hurst exponent, spectrum coherence
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: In this note, we investigate possible relationships between the bivariate Hurst exponent $H_{xy}$ and an average of the separate Hurst exponents $\frac{1}{2}(H_x+H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy}=\frac{1}{2}(H_x+H_y)$ and $H_{xy}<\frac{1}{2}(H_x+H_y)$. However, we show that the case of $H_{xy}>\frac{1}{2}(H_x+H_y)$ is not possible regardless of stationarity issues. Further discussion of the implications is provided as well together with a note on the finite sample effect.




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