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

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.

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Year of publication:	2015
Authors:	Kristoufek, Ladislav
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 431.2015, C, p. 124-127
Publisher:	Elsevier
Subject:	Correlations \| Power-law cross-correlations \| Bivariate Hurst exponent \| Spectrum coherence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011264526