Artículo
Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
Fecha de publicación:
10/2016
Editorial:
Routledge Journals, Taylor & Francis Ltd
Revista:
Journal of Applied Statistics
ISSN:
0266-4763
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
We compute the auto-correlations and cross-correlations of the volatility time series of the Argentina MERVAL Index (the Buenos Aires Stock Exchange main index) and three agricultural commodities, in a multifractal context using the Detrended Cross-Correlation Analysis [12]. We observe a clear increase of the cross-correlations between the Merval series and the grain quotations which can be ascribed to a stronger coupling between the agricultural sector and the rest of the Argentinian economy. We connect this to fiscal decisions implemented since 2004 and reinforced after 2009.
Palabras clave:
Complex Systems
,
Financial Time Series
,
Multifractal Cross Correlation
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191.6Kb
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Licencia
Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción:
Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
Colecciones
Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Figliola, Maria Alejandra; Catalano, Lucas Damian; Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices; Routledge Journals, Taylor & Francis Ltd; Journal of Applied Statistics; 43; 13; 10-2016; 2452-2461
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