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Aplicación de bicorrelación cruzada al rendimiento diario del precio del café

Author

Listed:
  • Coronado Ramírez Semei Leopoldo

    (Universidad de Guadalajara)

  • Porras Serrano Jesús

    (Instituto Politécnico Nacional)

  • Sandoval Bravo Salvador

    (Universidad de Guadalajara)

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.

Suggested Citation

  • Coronado Ramírez Semei Leopoldo & Porras Serrano Jesús & Sandoval Bravo Salvador, 2013. "Aplicación de bicorrelación cruzada al rendimiento diario del precio del café," Contaduría y Administración, Accounting and Management, vol. 58(1), pages 117-129, enero-mar.
    • Handle: RePEc:nax:conyad:v:58:y:2013:i:1:p:117-129
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    bicorrelación cruzada; commodities; rendimiento del precio del café;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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