Artículos de revistas
Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
Fecha
2016-10Registro en:
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
0266-4763
Autor
Figliola, Maria Alejandra
Catalano, Lucas Damian
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.