Cross-correlation of long-range correlated series

By S. Arianos, Anna Carbone. 2008

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A method for estimating the cross-correlation Cxy(τ) of long-range correlated series x(t) and y(t), at varying lags τ and scales n, is proposed. For fractional Brownian motions with Hurst exponents H1 and H2, the asymptotic expression for Cxy(τ) depends only on the lag τ (wide-sense stationarity) and scales as a power of n with exponent H1+H2 for . The method is illustrated on: (i) financial series, to show the leverage effect; (ii) genomic sequences, to estimate the correlations between structural parameters along the chromosomes.

Subfields: Economics and Econometrics, Finance, Molecular Biology

View Paper: https://www.semanticscholar.org/paper/8bb9c07aea44a93deb993e70ddcf667b0965acac