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Multifractal Detrended Cross-Correlation Analysis of the Spot Markets of the Brent Crude Oil and the US Dollar Index
In this paper we choose the spot prices of Brent crude oil and US dollar indexes as the research objects to discuss their cross-correlation relationships. First we qualitatively describe the cross-correlation relationships between the return series of Brent crude oil market and US dollar indexes by using the cross-correlation test statistics and show that the two return series disobey normal distribution. Then quantitative analyses for the cross-correlations and the auto-correlations of the two return series are made by multifractal methods. It is confirmed that both the cross-correlations and the auto-correlations all have the multifractal characteristics. Finally, the causes of the multifractality is investigated and it is pointed out that both the long-range correlations and the fat-tail distributions all play important roles in the contributions of multifractality.
Brent crude oil, US dollar index, cross-correlations, multifractal analysis.
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