Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices

dc.creatorFigliola, Maria Alejandra
dc.creatorCatalano, Lucas Damian
dc.date.accessioned2017-06-12T21:00:38Z
dc.date.accessioned2018-11-06T13:43:16Z
dc.date.available2017-06-12T21:00:38Z
dc.date.available2018-11-06T13:43:16Z
dc.date.created2017-06-12T21:00:38Z
dc.date.issued2016-10
dc.identifierFigliola, 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.identifier0266-4763
dc.identifierhttp://hdl.handle.net/11336/18040
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1878564
dc.description.abstractWe 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.languageeng
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1080/02664763.2016.1181725
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectCOMPLEX SYSTEMS
dc.subjectFINANCIAL TIME SERIES
dc.subjectMULTIFRACTAL CROSS CORRELATION
dc.titleEvolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
dc.typeArtículos de revistas
dc.typeArtículos de revistas
dc.typeArtículos de revistas


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