Cross-correlations between Baltic Dry Index and crude oil prices

Qingsong Ruan, Yao Wang, Xinsheng Lu and Jing Qin

Physica A: Statistical Mechanics and its Applications, 2016, vol. 453, issue C, 278-289

Abstract: This paper examines the cross-correlation properties of Baltic Dry Index (BDI) and crude oil prices using cross-correlation statistics test and multifractal detrended cross-correlation analysis (MF-DCCA). The empirical results show that the cross-correlations between BDI and crude oil prices are significantly multifractal. By introducing the concept of a “crossover”, we find that the cross-correlations are strongly persistent in the short term and weakly anti-persistent in the long term. Moreover, cross-correlations of all kinds of fluctuations are persistent in the short time while cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the long term. We have also verified that the multifractality of the cross-correlations of BDI and crude oil prices is both attributable to the persistence of fluctuations of time series and fat-tailed distributions.

Keywords: Baltic Dry Index; Crude oil prices; Cross-correlations; MF-DCCA; Rolling windows (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:453:y:2016:i:c:p:278-289

DOI: 10.1016/j.physa.2016.02.018

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