Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2015, vol. 431, issue C, 124-127

Abstract: In this note, we investigate possible relationships between the bivariate Hurst exponent Hxy and an average of the separate Hurst exponents 12(Hx+Hy). We show that two cases are well theoretically founded. These are the cases when Hxy=12(Hx+Hy) and Hxy<12(Hx+Hy). However, we show that the case of Hxy>12(Hx+Hy) 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.

Keywords: Correlations; Power-law cross-correlations; Bivariate Hurst exponent; Spectrum coherence (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:431:y:2015:i:c:p:124-127

DOI: 10.1016/j.physa.2015.02.086

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