MULTIFRACTAL CROSS-CORRELATIONS RISK AMONG WTI AND FINANCIAL ASSETS

Leonardo H. S. Fernandes (), Jos㉠W. L. Silva (), Derick Quintino, Fernando H. A. de Araujo and Benjamin Tabak
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Leonardo H. S. Fernandes: Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535, Brazil
Jos㉠W. L. Silva: ��Department of Statistics and Informatics, Federal Rural University of Pernambuco, Recife, PE 52171-900, Brazil
Fernando H. A. de Araujo: �Federal Institute of Education, Science and Technology of Paraíba, Campus Patos, PB. Acesso rodovia PB 110, S/N Alto Tubiba - CEP

FRACTALS (fractals), 2022, vol. 30, issue 09, 1-13

Abstract: Independent of science branch, scientists have a consensus that peoples lives are highly susceptible to risk, and effectively quantifying risk is a big challenge. This paper assesses the Multifractal Cross-Correlation Measure (MRCC) among West Texas Intermediate (WTI), seven fiat currencies and three foreign exchange rates. Therefore, we use the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to examine the volatility dynamics considering the pairs of these financial records. We discover that all these volatility time series pairs (αxy(0) > 0.5) are characterized by overall persistent behavior based on the values of αxy(0). The MRCC values exhibit that the pairs WTI versus MXN (Γ = 0.821425), WTI versus JPY (Γ = 0.796747) and WTI versus NOK (Γ = 0.756545) are more complex and persistent than the other pairs. Otherwise, the pairs WTI versus AUD (Γ = 0.580362), WTI versus CAD (Γ = 0.667706) and WTI versus EMK (Γ = 0.705446) are less complex and persistent. Thus, our empirical findings shed light on the problem of quantification risk based on a multifractal perspective.

Keywords: Fiat Currencies; Foreign Exchange Rates; Energy Commodity; Multifractality; Cross-Correlation; Risk (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0218348X22501912

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