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

Revista con referato

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Detalles Bibliográficos
Autores principales: Figliola, Maria Alejandra, Catalano, Lucas Damián
Formato: Artículo publishedVersion
Lenguaje:Inglés
Publicado: Routledge Journals, Taylor & Francis Ltd. 2025
Materias:
Sistemas complejos
Series de tiempo financieras
Correlación cruzada multifractal
Complex Systems
Financial Time Series
Multifractal Cross Correlation
Sistemas Complexos
Séries Temporais Financeiras
Correlação Cruzada Multifractal
Ciencias Físicas
Acceso en línea:http://repositorio.ungs.edu.ar:8080/xmlui/handle/UNGS/2266
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Repositorio Institucional Digital de Acceso Abierto (UNGS) de Universidad Nacional de General Sarmiento
id I71-R177-UNGS-2266
record_format dspace
spelling I71-R177-UNGS-22662025-06-26T15:03:46Z Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices Figliola, Maria Alejandra Catalano, Lucas Damián Sistemas complejos Series de tiempo financieras Correlación cruzada multifractal Complex Systems Financial Time Series Multifractal Cross Correlation Sistemas Complexos Séries Temporais Financeiras Correlação Cruzada Multifractal Ciencias Físicas Revista con referato Fil: Figliola, Maria Alejandra. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Fil: Figliola, Maria Alejandra. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Fil: Catalano, Lucas Damián. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Calculamos las autocorrelaciones y correlaciones cruzadas de la serie temporal de volatilidad del índice MERVAL de Argentina (el principal índice de la Bolsa de Comercio de Buenos Aires) y tres materias primas agrícolas, en un contexto multifractal mediante el análisis de correlación cruzada destendida [12]. Observamos un claro aumento de las correlaciones cruzadas entre la serie del Merval y las cotizaciones de los granos, lo cual puede atribuirse a un mayor acoplamiento entre el sector agrícola y el resto de la economía argentina. Lo relacionamos con las decisiones fiscales implementadas desde 2004 y reforzadas después de 2009. 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. Calculamos as autocorrelações e correlações cruzadas das séries temporais de volatilidade do Índice MERVAL da Argentina (o principal índice da Bolsa de Valores de Buenos Aires) e de três commodities agrícolas, em um contexto multifractal, utilizando a Análise de Correlação Cruzada Destendenciada [12]. Observamos um claro aumento das correlações cruzadas entre a série Merval e as cotações dos grãos, o que pode ser atribuído a um acoplamento mais forte entre o setor agrícola e o restante da economia argentina. Relacionamos isso às decisões fiscais implementadas desde 2004 e reforçadas após 2009. 2025-06-26T15:03:46Z 2025-06-26T15:03:46Z 2016 info:eu-repo/semantics/article info:ar-repo/semantics/artículo info:eu-repo/semantics/publishedVersion Figliola, M. A. y Catalano, L. D. Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices. Journal of Applied Statistics, 43(13), 2452-2461. 0266-4763 http://repositorio.ungs.edu.ar:8080/xmlui/handle/UNGS/2266 eng doi/http://dx.doi.org/10.1080/02664763.2016.1181725 info:eu-repo/semantics/openAccess application/pdf application/pdf Routledge Journals, Taylor & Francis Ltd. Journal of Applied Statistics. Oct. 2016; 43(13): 2452-2461
institution Universidad Nacional de General Sarmiento
institution_str I-71
repository_str R-177
collection Repositorio Institucional Digital de Acceso Abierto (UNGS)
language Inglés
orig_language_str_mv eng
topic Sistemas complejos
Series de tiempo financieras
Correlación cruzada multifractal
Complex Systems
Financial Time Series
Multifractal Cross Correlation
Sistemas Complexos
Séries Temporais Financeiras
Correlação Cruzada Multifractal
Ciencias Físicas
spellingShingle Sistemas complejos
Series de tiempo financieras
Correlación cruzada multifractal
Complex Systems
Financial Time Series
Multifractal Cross Correlation
Sistemas Complexos
Séries Temporais Financeiras
Correlação Cruzada Multifractal
Ciencias Físicas
Figliola, Maria Alejandra
Catalano, Lucas Damián
Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
topic_facet Sistemas complejos
Series de tiempo financieras
Correlación cruzada multifractal
Complex Systems
Financial Time Series
Multifractal Cross Correlation
Sistemas Complexos
Séries Temporais Financeiras
Correlação Cruzada Multifractal
Ciencias Físicas
description Revista con referato
format Artículo
Artículo
publishedVersion
author Figliola, Maria Alejandra
Catalano, Lucas Damián
author_facet Figliola, Maria Alejandra
Catalano, Lucas Damián
author_sort Figliola, Maria Alejandra
title Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
title_short Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
title_full Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
title_fullStr Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
title_full_unstemmed Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
title_sort evolution of multifractal cross-correlations between the argentina merval index and international commodities prices
publisher Routledge Journals, Taylor & Francis Ltd.
publishDate 2025
url http://repositorio.ungs.edu.ar:8080/xmlui/handle/UNGS/2266
work_keys_str_mv AT figliolamariaalejandra evolutionofmultifractalcrosscorrelationsbetweentheargentinamervalindexandinternationalcommoditiesprices
AT catalanolucasdamian evolutionofmultifractalcrosscorrelationsbetweentheargentinamervalindexandinternationalcommoditiesprices
_version_ 1842217814346170368

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