Aplicación de bicorrelación cruzada al rendimiento diario del precio del café

Coronado Ramírez Semei Leopoldo (), Porras Serrano Jesús () and Sandoval Bravo Salvador ()
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Coronado Ramírez Semei Leopoldo: Universidad de Guadalajara
Porras Serrano Jesús: Instituto Politécnico Nacional
Sandoval Bravo Salvador: Universidad de Guadalajara

Contaduría y Administración, 2013, vol. 58, issue 1, 117-129

Abstract: This paper uses the cross bicorrelation methodology, which can capture nonlinear trascendence periods through window functions and third-order moments. It applies to the return of four sets of commodities of coffee traded on the New York market (Arabica Colombian, mild Arabica, Arabica Brazilian and Other Arabicas), during the 20/06/1997 - 27/10/2010 period. The results conclude that there is a cross bicorrelation among the four series, with Brazilian type coffee being the leader and a lower bicorrelation with other Arabicas. This complicates decisions for investors in such series.

Keywords: bicorrelación cruzada; commodities; rendimiento del precio del café (search for similar items in EconPapers)
JEL-codes: C2 C58 G15 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:58:y:2013:i:1:p:117-129

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