On the interplay between short and long term memory in the power-law cross-correlations setting

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2015, vol. 421, issue C, 218-222

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.

Keywords: Power-law cross-correlations; Long term memory; Short term memory (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Working Paper: On the interplay between short and long term memory in the power-law cross-correlations setting (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:421:y:2015:i:c:p:218-222

DOI: 10.1016/j.physa.2014.11.040

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