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dc.contributor.author
Figliola, Maria Alejandra
dc.contributor.author
Catalano, Lucas Damian
dc.date.available
2017-06-12T21:00:38Z
dc.date.issued
2016-10
dc.identifier.citation
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
dc.identifier.issn
0266-4763
dc.identifier.uri
http://hdl.handle.net/11336/18040
dc.description.abstract
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.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Routledge Journals, Taylor & Francis Ltd
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Complex Systems
dc.subject
Financial Time Series
dc.subject
Multifractal Cross Correlation
dc.subject.classification
Otras Ciencias Físicas
dc.subject.classification
Ciencias Físicas
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
dc.title
Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2017-06-12T20:04:05Z
dc.journal.volume
43
dc.journal.number
13
dc.journal.pagination
2452-2461
dc.journal.pais
Reino Unido
dc.description.fil
Fil: Figliola, Maria Alejandra. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina
dc.description.fil
Fil: Catalano, Lucas Damian. Universidad Nacional de Luján; Argentina. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina
dc.journal.title
Journal of Applied Statistics
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1080/02664763.2016.1181725
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