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Multifractal Cross-Correlations Risk Among Wti And Financial Assets

Author

Listed:
  • LEONARDO H. S. FERNANDES

    (Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535, Brazil)

  • JOSÉ W. L. SILVA

    (��Department of Statistics and Informatics, Federal Rural University of Pernambuco, Recife, PE 52171-900, Brazil)

  • DERICK D. QUINTINO

    (��Nova Odessa 13380-009, SP, 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)

  • BENJAMIN MIRANDA TABAK

    (�School of Public Policy and Government, Getulio Vargas Foundation, SGAN 602 Módulos A,B,C, Asa Norte, Brasília, DF 70830-020, Brazil)

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.

Suggested Citation

  • Leonardo H. S. Fernandes & Jos㉠W. L. Silva & Derick D. Quintino & Fernando H. A. De Araujo & Benjamin Miranda Tabak, 2022. "Multifractal Cross-Correlations Risk Among Wti And Financial Assets," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 30(09), pages 1-13, December.
    • Handle: RePEc:wsi:fracta:v:30:y:2022:i:09:n:s0218348x22501912
    DOI: 10.1142/S0218348X22501912
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