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...</12(hx+hy).>

We study finite sample properties of estimators of power-law cross-correlations–detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA)–with a special focus on short-term memory bias as well as...

We inspect a possible clustering structure of the corruption perception among 134 countries. Using the average linkage clustering, we uncover a well-defined hierarchy in the relationships among countries. Four main clusters are identified and they suggest that countries worldwide can be quite...

We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis,...

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...

In this paper, we analyze the relationships between biodiesel, ethanol and related fuels and agricultural commodities with a use of minimal spanning trees and hierarchical trees. To distinguish between short term and long term effects, we construct the trees for different frequencies (weekly,...