We introduce a new method for the detection of long-range cross-correlations and multifractality —multifractal height cross-correlation analysis (MF-HXA)— based on scaling of q -th order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabási and Vicsek (Barabási A. L. and Vicsek T., Phys. Rev. A , 44 (1991) 2730 ). The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate the utility of the method on both simulated and real-world time series.
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